University of Surrey

Test tubes in the lab Research in the ATI Dance Research

Testing for Jumps Spillovers without testing for Jumps

Corradi, Valentina, Distaso, Walter and Fernandes, Marcelo (2019) Testing for Jumps Spillovers without testing for Jumps Journal of the American Statistical Association.

Testing for Jumps Spillovers without testing for Jumps.pdf - Accepted version Manuscript

Download (725kB) | Preview


This paper develops statistical tools for testing conditional independence among the jump components of the daily quadratic variation, which we estimate using intraday data. To avoid sequential bias distortion, we do not pretest for the presence of jumps. If the null is true, our test statistic based on daily integrated jumps weakly converges to a Gaussian random variable if both assets have jumps. If instead at least one asset has no jumps, then the statistic approaches zero in probability. We show how to compute asymptotically valid bootstrap-based critical values that result in a consistent test with asymptotic size equal to or smaller than the nominal size. Empirically, we study jump linkages between US futures and equity index markets. We find not only strong evidence of jump cross-excitation between the SPDR exchange-traded fund and E-mini futures on the S&P 500 index, but also that integrated jumps in the E-mini futures during the overnight period carry relevant information.

Item Type: Article
Divisions : Faculty of Arts and Social Sciences > School of Economics
Authors :
Distaso, Walter
Fernandes, Marcelo
Date : 19 June 2019
DOI : 10.1080/01621459.2019.1609971
Copyright Disclaimer : © 2019 Taylor & Francis
Uncontrolled Keywords : Conditional independence; Jump intensity; Kernel smoothing; Quadratic variation; Realized measure
Related URLs :
Depositing User : Clive Harris
Date Deposited : 14 May 2019 12:54
Last Modified : 20 Jun 2020 02:08

Actions (login required)

View Item View Item


Downloads per month over past year

Information about this web site

© The University of Surrey, Guildford, Surrey, GU2 7XH, United Kingdom.
+44 (0)1483 300800