Testing for self-excitation in jumps

被引：20

作者：

Boswijk, H. Peter ^{[1
,2
]}

Laeven, Roger J. A. ^{[3
]}

Yang, Xiye ^{[4
]}

机构：

[1] Univ Amsterdam, Amsterdam Sch Econ, POB 15867, NL-1001 NJ Amsterdam, Netherlands

[2] Tinbergen Inst, POB 15867, NL-1001 NJ Amsterdam, Netherlands

[3] Univ Amsterdam, Amsterdam Sch Econ, EURANDOM & CentER, POB 15867, NL-1001 NJ Amsterdam, Netherlands

[4] Rutgers State Univ, Dept Econ, 75 Hamilton St,New Jersey Hall, New Brunswick, NJ 08901 USA

来源：

JOURNAL OF ECONOMETRICS | 2018年 / 203卷 / 02期

关键词：

Self-excitation; Jumps; Semimartingale; Spot jump intensity; Discrete sampling; High frequency data; Financial crisis; HIGH-FREQUENCY DATA; DISCRETELY OBSERVED PROCESS; EXCITING POINT-PROCESSES; SEMIMARTINGALES; INFERENCE; VARIANCE; DYNAMICS; RETURNS; OPTIONS; SPECTRA;

D O I：

10.1016/j.jeconom.2017.11.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper extends the notion of self-excitation in jumps to a rich class of continuous time semimartingale models, proposes statistical tests to detect its presence in a discretely observed sample path at high frequency, and derives the tests' asymptotic properties. Our statistical setting is semiparametric: except for necessary parametric assumptions on the jump size measure, the other components of the semimartingale model are left essentially unrestricted. We analyze the finite sample performance of our tests in Monte Carlo simulations. Published by Elsevier B.V.

引用

页码：256 / 266

页数：11

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