Rank tests at jump events

• Main Authors: LI, Jia, TODOROV, Viktor, TAUCHEN, George, LIN, Huidi.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2019
• Subjects: Factor model; High-frequency data; jumps; Rank test; Semimartingale; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2586; https://ink.library.smu.edu.sg/context/soe_research/article/3585/viewcontent/RankTestsJumpEvents_av.pdf
• Institution: Singapore Management University

We propose a test for the rank of a cross-section of processes at a set of jump events. The jump events are either specific known times or are random and associated with jumps of some process. The test is formed from discretely sampled data on a fixed time interval with asymptotically shrinking mesh...