2014-07-16Buch DOI: 10.18452/4524
Common price andvolatility jumps in noisyhigh-frequency data
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency tick-data and is robust to market microstructure frictions. To localize volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and an empirical example with NASDAQ order book data demonstrate the practicability of the proposed methods and highlight the important role played by price volatility co-jumps.
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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 37, SFB 649 Papers, ISSN:1860-5664