Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103794
Authors: 
Bibinger, Markus
Winkelmann, Lars
Year of Publication: 
2014
Series/Report no.: 
SFB 649 Discussion Paper 2014-037
Abstract: 
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency tick-data and is robust to market microstructure frictions. To localize volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and an empirical example with NASDAQ order book data demonstrate the practicability of the proposed methods and highlight the important role played by price volatility co-jumps.
Subjects: 
high-frequency data
microstructure noise
nonparametric volatility estimation
volatility jumps
JEL: 
E58
C14
Document Type: 
Working Paper

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