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: | http://hdl.handle.net/10438/19425 |
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, MarceloEscolas::EESPDemais unidades::RPCA2017-12-19T16:00:06Z2017-12-19T16:00:06Z2017http://hdl.handle.net/10438/19425This 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 informationengConditional independenceJump intensityKernel smoothingQuadratic variationRealized measuresEconomiaFunções de KernelIndependência (Matemática)Testing for jump spillovers without testing for jumpsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/conferenceObjectreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessRede de Pesquisa e Conhecimento AplicadoTEXTTesting_for_jump_spillovers_without_testing_for_jumps.pdf.txtTesting_for_jump_spillovers_without_testing_for_jumps.pdf.txtExtracted 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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 Funções de Kernel Independência (Matemática) |
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 |
Escolas::EESP Demais unidades::RPCA |
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 Funções de Kernel Independência (Matemática) |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Funções de Kernel Independência (Matemática) |
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.accessioned.fl_str_mv |
2017-12-19T16:00:06Z |
dc.date.available.fl_str_mv |
2017-12-19T16:00:06Z |
dc.date.issued.fl_str_mv |
2017 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/conferenceObject |
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conferenceObject |
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dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/19425 |
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http://hdl.handle.net/10438/19425 |
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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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