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Bootstrap Methods for the Realized Bipower Variation and for Jump Testing

Dumitru, A-MH (2014) Bootstrap Methods for the Realized Bipower Variation and for Jump Testing [Working Paper]

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Abstract

This paper proposes bootstrap methods for the realized bipower variation and the Barndorff-Nielsen and Shephard (2006a) test for jumps. These results enable inference for the realized bipower variation in the presence of jumps in prices. Both the i.i.d and the WILD bootstrap are shown to outperform results obtained through the asymptotic theory. To detect jumps in the presence of microstructure noise, we propose a procedure that averages test results across multiple sampling frequencies. This method considerably improves jump detection, by generating a higher level of power than the asymptotic test, unaccompanied by a simultaneous increase in size.

Item Type: Working Paper
Authors :
NameEmailORCID
Dumitru, A-MHa.dumitru@surrey.ac.ukUNSPECIFIED
Date : 16 January 2014
Related URLs :
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:36
Last Modified : 17 May 2017 14:37
URI: http://epubs.surrey.ac.uk/id/eprint/820783

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