Testing for jump spillovers without testing for jumps
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Outros Autores: | , |
Tipo de documento: | Artigo de conferência |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/27663 |
Resumo: | This paper develops statistical tools for testing conditional independence among the jump components of the daily quadratic variation, which we estimate using intraday data. To avoid sequential bias distortion, we do not pretest for the presence of jumps. If the null is true, our test statistic based on daily integrated jumps weakly converges to a Gaussian random variable if both assets have jumps. If instead at least one asset has no jumps, then the statistic approaches zero in probability. We show how to compute asymptotically valid bootstrap-based critical values that result in a consistent test with asymptotic size equal to or smaller than the nominal size. Empirically, we study jump linkages between US futures and equity index markets. We _nd not only strong evidence of jump cross-excitation between the SPDR exchange-traded fund and E-mini futures on the S&P 500 index, but also that integrated jumps in the E-mini futures during the overnight period carry relevant information. |
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Corradi, ValentinaDistaso, WalterFernandes, MarceloDemais unidades::RPCAFGV2019-07-03T14:57:12Z2019-07-03T14:57:12Z2017-09-30https://hdl.handle.net/10438/27663This paper develops statistical tools for testing conditional independence among the jump components of the daily quadratic variation, which we estimate using intraday data. To avoid sequential bias distortion, we do not pretest for the presence of jumps. If the null is true, our test statistic based on daily integrated jumps weakly converges to a Gaussian random variable if both assets have jumps. If instead at least one asset has no jumps, then the statistic approaches zero in probability. We show how to compute asymptotically valid bootstrap-based critical values that result in a consistent test with asymptotic size equal to or smaller than the nominal size. Empirically, we study jump linkages between US futures and equity index markets. We _nd not only strong evidence of jump cross-excitation between the SPDR exchange-traded fund and E-mini futures on the S&P 500 index, but also that integrated jumps in the E-mini futures during the overnight period carry relevant information.engConditional independenceJump intensityKernel smoothingQuadratic variationRealized measuresEconomiaMercado futuroIndicadores econômicosPolítica econômicaTesting for jump spillovers without testing for jumpsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/conferenceObjectinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVRede de Pesquisa e Conhecimento AplicadoORIGINAL022_2018_Testing for jump spillovers_MARCELO FERNANDES.PDF022_2018_Testing for jump spillovers_MARCELO 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dc.title.eng.fl_str_mv |
Testing for jump spillovers without testing for jumps |
title |
Testing for jump spillovers without testing for jumps |
spellingShingle |
Testing for jump spillovers without testing for jumps Corradi, Valentina Conditional independence Jump intensity Kernel smoothing Quadratic variation Realized measures Economia Mercado futuro Indicadores econômicos Política econômica |
title_short |
Testing for jump spillovers without testing for jumps |
title_full |
Testing for jump spillovers without testing for jumps |
title_fullStr |
Testing for jump spillovers without testing for jumps |
title_full_unstemmed |
Testing for jump spillovers without testing for jumps |
title_sort |
Testing for jump spillovers without testing for jumps |
author |
Corradi, Valentina |
author_facet |
Corradi, Valentina Distaso, Walter Fernandes, Marcelo |
author_role |
author |
author2 |
Distaso, Walter Fernandes, Marcelo |
author2_role |
author author |
dc.contributor.unidadefgv.por.fl_str_mv |
Demais unidades::RPCA |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Corradi, Valentina Distaso, Walter Fernandes, Marcelo |
dc.subject.eng.fl_str_mv |
Conditional independence Jump intensity Kernel smoothing Quadratic variation Realized measures |
topic |
Conditional independence Jump intensity Kernel smoothing Quadratic variation Realized measures Economia Mercado futuro Indicadores econômicos Política econômica |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Mercado futuro Indicadores econômicos Política econômica |
description |
This paper develops statistical tools for testing conditional independence among the jump components of the daily quadratic variation, which we estimate using intraday data. To avoid sequential bias distortion, we do not pretest for the presence of jumps. If the null is true, our test statistic based on daily integrated jumps weakly converges to a Gaussian random variable if both assets have jumps. If instead at least one asset has no jumps, then the statistic approaches zero in probability. We show how to compute asymptotically valid bootstrap-based critical values that result in a consistent test with asymptotic size equal to or smaller than the nominal size. Empirically, we study jump linkages between US futures and equity index markets. We _nd not only strong evidence of jump cross-excitation between the SPDR exchange-traded fund and E-mini futures on the S&P 500 index, but also that integrated jumps in the E-mini futures during the overnight period carry relevant information. |
publishDate |
2017 |
dc.date.issued.fl_str_mv |
2017-09-30 |
dc.date.accessioned.fl_str_mv |
2019-07-03T14:57:12Z |
dc.date.available.fl_str_mv |
2019-07-03T14:57:12Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
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conferenceObject |
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https://hdl.handle.net/10438/27663 |
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https://hdl.handle.net/10438/27663 |
dc.language.iso.fl_str_mv |
eng |
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eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
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