Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/87335 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 13-155/III
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
In this article we introduce a new class of test statistics designed to detect the occurrence of abnormal observations. It derives from the joint distribution of moment- and quantile-based estimators of power variation sigma, under the assumption of a normal distribution for the underlying data. Our novel tests can be applied to test for jumps and are found to be generally more powerful than widely used alternatives. An extensive empirical illustration for high-frequency equity data suggests that jumps can be more prevalent than inferred from existing tests on the second or third moment of the data.
Schlagwörter: 
Finite activity jumps
higher order moments
order statistics
outliers
realized variation.
JEL: 
C10
C12
G12
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
699.68 kB





Publikationen in EconStor sind urheberrechtlich geschützt.