Jump regressions

• Main Authors: LI, Jia, TODOROV, Viktor, TAUCHEN, George
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2017
• Subjects: efficient estimation; high-frequency data; jumps; LAMN; regression; semimartingale; specification test; stochastic volatility.; Econometrics; Economic Theory
• Online Access: https://ink.library.smu.edu.sg/soe_research/2572; https://ink.library.smu.edu.sg/context/soe_research/article/3571/viewcontent/Li_Todorov_Tauchen_jur.pdf
• Institution: Singapore Management University

We develop econometric tools for studying jump dependence of two processes from high-frequency observations on a fixed time interval. In this context, only segments of data around a few outlying observations are informative for the inference. We derive an asymptotically valid test for stability of a...