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Economics 201FS: Volatility and Jumps

Economics 201FS: Volatility and Jumps. Grace Shuting Wei Spring 2011 20 April 2011. Investigating volatility during jumps. Previously BNS test Ait-Sahalia and Jacod (2008) This week Regression of test statistics from Ait-Sahalia and Jacod Direction of jumps.

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Economics 201FS: Volatility and Jumps

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  1. Economics 201FS: Volatility and Jumps Grace Shuting Wei Spring 2011 20 April 2011

  2. Investigating volatility during jumps • Previously • BNS test • Ait-Sahalia and Jacod (2008) • This week • Regression of test statistics from Ait-Sahalia and Jacod • Direction of jumps

  3. Ait-Sahalia and Jacod (2008) • Multipower variation • Test statistic • Intuition: When power is large (p >2), the contribution of jumps to B(p) overwhelms everything else. This is because high powers (p >2) magnify the large increments at the expense of the small ones. • Asymptotic values

  4. FDX: A-J Jump Test

  5. UPS: A-J Jump Test

  6. SPFU: A-J Jump Test

  7. Bollerslev, Todorov, and Zheng (2011) • Time-of-Day measures the ratio of the diffusive variation over different parts of the day relative to its average value for the day. • Threshold type test

  8. FDX: BTZ Jump Test

  9. UPS: BTZ Jump Test

  10. SPFU: BTZ Jump Test

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