Testing for self-excitation in jumps
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 semip...
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| Veröffentlicht in: | Journal of econometrics 2018-04, Vol.203 (2), p.256-266 |
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| container_end_page | 266 |
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| container_issue | 2 |
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| container_title | Journal of econometrics |
| container_volume | 203 |
| creator | Boswijk, H. Peter Laeven, Roger J.A. Yang, Xiye |
| description | 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. |
| doi_str_mv | 10.1016/j.jeconom.2017.11.007 |
| format | Article |
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Peter ; Laeven, Roger J.A. ; Yang, Xiye</creator><creatorcontrib>Boswijk, H. Peter ; Laeven, Roger J.A. ; Yang, Xiye</creatorcontrib><description>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. 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| fulltext | fulltext |
| identifier | ISSN: 0304-4076 |
| ispartof | Journal of econometrics, 2018-04, Vol.203 (2), p.256-266 |
| issn | 0304-4076 1872-6895 |
| language | eng |
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| source | Elsevier ScienceDirect Journals |
| subjects | Asymptotic methods Discrete sampling Econometrics Economic crisis Financial crisis High frequency data Jumps Monte Carlo simulation Self-excitation Semimartingale Spot jump intensity Stochastic models |
| title | Testing for self-excitation in jumps |
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