Mixed-scale jump regressions with bootstrap inference

• 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
• Institution: Singapore Management University

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...