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Identification of jumps in financial price series

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Author Info

  • Hellström, Jörgen

    ()
    (Umeå School of Business, Umeå University)

  • Lönnbark, Carl

    ()
    (Department of Economics, Umeå University)

Abstract

The paper outlines and tests, by means of Monte-Carlo simulations, a simple strategy of using existing non-parametric tests for jumps at the daily frequency to identify jumps at higher sampling frequencies. The suggested strategy allow for identification of the number of jumps and jump times during a day, as well as, the size and direction (negative or positive) of the jumps. The method is of importance in order to facilitate detailed empirical studies concerning, for example, causes for jumps in financial price series at finer levels than the daily. The Monte Carlo study reveals that the strategy works reasonably well, particular for lower jump intensities. An application of the studied strategy on the Handelsbanken stock is provided.

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Bibliographic Info

Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 827.

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Length: 16 pages
Date of creation: 20 May 2011
Date of revision:
Handle: RePEc:hhs:umnees:0827

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Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
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Keywords: Financial econometrics; jumps; realized variance; bipower variation; stock price;

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