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2014-07-16Buch DOI: 10.18452/4524
Common price andvolatility jumps in noisyhigh-frequency data
dc.contributor.authorBibinger, Markus
dc.contributor.authorWinkelmann, Lars
dc.date.accessioned2017-06-16T01:03:12Z
dc.date.available2017-06-16T01:03:12Z
dc.date.created2014-09-11
dc.date.issued2014-07-16
dc.date.submitted2014-07-16
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5176
dc.description.abstractWe 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjecthigh-frequency dataeng
dc.subjectmicrostructure noiseeng
dc.subjectnonparametric volatility estimationeng
dc.subjectvolatility jumpseng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleCommon price andvolatility jumps in noisyhigh-frequency data
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100220154
dc.identifier.doihttp://dx.doi.org/10.18452/4524
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages36
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2014
local.edoc.container-issue37
local.edoc.container-year2014
local.edoc.container-erstkatid2195055-6

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