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Identification of jumps in financial price series

Author

Listed:
  • 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.

Suggested Citation

  • Hellström, Jörgen & Lönnbark, Carl, 2011. "Identification of jumps in financial price series," Umeå Economic Studies 827, Umeå University, Department of Economics.
    • Handle: RePEc:hhs:umnees:0827
    as

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    References listed on IDEAS

    as
    1. Ole E. Barndorff-Nielsen & Neil Shephard, 2006. "Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(1), pages 1-30.
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    More about this item

    Keywords

    Financial econometrics; jumps; realized variance; bipower variation; stock price;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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