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Testing for self-excitation in jumps

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  • Boswijk, H. Peter
  • Laeven, Roger J.A.
  • Yang, Xiye

Abstract

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.

Suggested Citation

  • Boswijk, H. Peter & Laeven, Roger J.A. & Yang, Xiye, 2018. "Testing for self-excitation in jumps," Journal of Econometrics, Elsevier, vol. 203(2), pages 256-266.
    • Handle: RePEc:eee:econom:v:203:y:2018:i:2:p:256-266
    DOI: 10.1016/j.jeconom.2017.11.007
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    References listed on IDEAS

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    8. Weijia Peng & Chun Yao, 2022. "Co-Jumps, Co-Jump Tests, and Volatility Forecasting: Monte Carlo and Empirical Evidence," JRFM, MDPI, vol. 15(8), pages 1-21, July.
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    10. Qu, Yan & Dassios, Angelos & Zhao, Hongbiao, 2023. "Shot-noise cojumps: exact simulation and option pricing," LSE Research Online Documents on Economics 111537, London School of Economics and Political Science, LSE Library.
    11. Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023. "Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications," Working Papers 2023-016, Federal Reserve Bank of St. Louis.
    12. Corradi, Valentina & Silvapulle, Mervyn J. & Swanson, Norman R., 2018. "Testing for jumps and jump intensity path dependence," Journal of Econometrics, Elsevier, vol. 204(2), pages 248-267.
    13. Kwok, Simon, 2020. "Nonparametric Inference of Jump Autocorrelation," Working Papers 2020-09, University of Sydney, School of Economics, revised Jan 2021.
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    More about this item

    Keywords

    Self-excitation; Jumps; Semimartingale; Spot jump intensity; Discrete sampling; High frequency data; Financial crisis;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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