The DOI matches its Crossref record; 30 of the 30 references it cites were found in a registry or an index.
The Relative Contribution of Jumps to Total Price Variance
Open accessAbstract
We examine tests for jumps based on recent asymptotic results; we interpret the tests as Hausman-type tests. Monte Carlo evidence suggests that the daily ratio z-statistic has appropriate size, good power, and good jump detection capabilities revealed by the confusion matrix comprised of jump classification probabilities. We identify a pitfall in applying the asymptotic approximation over an entire sample. Theoretical and Monte Carlo analysis indicates that microstructure noise biases the tests against detecting jumps, and that a simple lagging strategy corrects the bias. Empirical work documents evidence for jumps that account for 7% of stock market price variance.
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Cites
Specification Tests in Econometrics
Hausman, J. A. (1978) · Econometrica · doi:10.2307/1913827 · Cited by 18,820
Option pricing when underlying stock returns are discontinuous
Merton, R. C. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90022-2 · Cited by 5,953
Numerical Solution of Stochastic Differential Equations
Kloeden, P. E., & Platen, E. (1992) · Springer eBooks · doi:10.1007/978-3-662-12616-5 · Cited by 5,060
Numerical solution of stochastic differential equations
(2016) · doi:10.5194/gmd-2016-45-rc1 · Cited by 5,002
Modeling and Forecasting Realized Volatility
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2003) · Econometrica · doi:10.1111/1468-0262.00418 · Cited by 3,863
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
Clark, P. K. (1973) · Econometrica · doi:10.2307/1913889 · Cited by 2,779
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Duffie, D., Pan, J., & Singleton, K. J. (2000) · Econometrica · doi:10.1111/1468-0262.00164 · Cited by 2,712
The distribution of realized stock return volatility
Andersen, T. (2001) · Journal of Financial Economics · doi:10.1016/s0304-405x(01)00055-1 · Cited by 2,259
The Distribution of Realized Exchange Rate Volatility
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001) · Journal of the American Statistical Association · doi:10.1198/016214501750332965 · Cited by 2,104
Power and Bipower Variation with Stochastic Volatility and Jumps
Barndorff-Nielsen, O. E. (2004) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbh001 · Cited by 2,023
Cited by
Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2007) · Review of Economics and Statistics · doi:10.1162/rest.89.4.701 · Cited by 1,445
Realized Variance and Market Microstructure Noise
Hansen, P. R., & Lunde, A. (2006) · Journal of Business & Economic Statistics · doi:10.1198/073500106000000071 · Cited by 1,160
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
Patton, A. J., & Sheppard, K. (2015) · Review of Economics and Statistics · doi:10.1162/rest_a_00503 · Cited by 769
Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, F., Pirino, D., & Renò, R. (2010) · Journal of Econometrics · doi:10.1016/j.jeconom.2010.07.008 · Cited by 561
McAleer, M., & Medeiros, M. C. (2008) · Econometric Reviews · doi:10.1080/07474930701853509 · Cited by 516
Metadata
- Authors
- Huang, X.
- Venue
- Journal of Financial Econometrics
- Publisher
- Oxford University Press (OUP)
- Published
- 2005-08-19
- Volume
- 3
- Issue
- 4
- Pages
- 456-499
- ISSN
- 1479-8409 (ISSN-L)
- 1479-8417
- OpenAlex
- W3124585920
- Cited by
- 888
- References
- 30
- FWCI
- 57.93
- Type
- journal article
- Language
- en
- Open access
- green
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
