کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5095522 1376468 2017 32 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Testing for non-correlation between price and volatility jumps
ترجمه فارسی عنوان
تست برای عدم همبستگی بین جهش قیمت و نوسانات
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
We consider a log-price process Xt, which is observed at discrete times 0,Δn, 2Δn,…, and the process has a stochastic squared volatility σt2. Assuming that the price process as well as the volatility process have common jumps, we suggest tests for non-correlation between log-price and squared volatility jumps, or functions of such jumps. Our tests have a prescribed asymptotic level, as the mesh Δn tends to 0 and the observation time Tn tends to ∞. The finite sample performance of our test is studied using simulations. We finally apply our tests to real data, and the test rejects the non-correlation hypothesis for the combination of squared log-price jumps and the moduli of the jumps of the squared volatility. This sheds new light on economically motivated statements on causality between price and volatility jumps and on econometric modeling.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 197, Issue 2, April 2017, Pages 284-297
نویسندگان
, , ,