Robust jump regressions

• Main Authors: LI, Jia, TODOROV, Viktor, TAUCHEN, George
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2017
• Subjects: High-frequency data; Jumps; Microstructure noise; Robust regression; Semimartingale; Econometrics; Economic Theory
• Online Access: https://ink.library.smu.edu.sg/soe_research/2570; https://ink.library.smu.edu.sg/context/soe_research/article/3569/viewcontent/Robust_Jump_Regressions.pdf
• Institution: Singapore Management University

We develop robust inference methods for studying linear dependence between the jumps of discretely observed processes at high frequency. Unlike classical linear regressions, jump regressions are determined by a small number of jumps occurring over a fixed time interval and the rest of the components...