Mixed-scale jump regressions with bootstrap inference

Mixed-scale jump regressions with bootstrap inference

We develop an efficient mixed-scale estimator for jump regressions using high-frequency asset returns. A fine time scale is used to accurately identify the locations of large rare jumps in the explanatory variables such as the price of the market portfolio. A coarse scale is then used in the estimat...

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Bibliographic Details
Main Authors: LI, Jia, TODOROV, Viktor, TAUCHEN, George
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Bootstrap; High-frequency data; Jumps; Regression; Semimartingale; Specification test; Stochastic volatility
Economic Theory
Online Access:https://ink.library.smu.edu.sg/soe_research/2573
https://ink.library.smu.edu.sg/context/soe_research/article/3572/viewcontent/Mixed_scale.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2573
https://ink.library.smu.edu.sg/context/soe_research/article/3572/viewcontent/Mixed_scale.pdf

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