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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| 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 |