Scandinavian Working Papers in Economics
Umeå Economic Studies,
Umeå University, Department of Economics
No 827: Identification of jumps in financial price series
Jörgen Hellström () and Carl Lönnbark ()
Additional contact information
Jörgen Hellström: Umeå School of Business, Umeå University, Postal: S 901 87 Umeå, Sweden
Carl Lönnbark: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
Abstract: The paper outlines and tests, by means of Monte-Carlo simulations, a simple strategy of using existing non-parametric tests for jumps at the daily frequency to identify jumps at higher sampling frequencies. The suggested strategy allow for identification of the number of jumps and jump times during a day, as well as, the size and direction (negative or positive) of the jumps. The method is of importance in order to facilitate detailed empirical studies concerning, for example, causes for jumps in financial price series at finer levels than the daily. The Monte Carlo study reveals that the strategy works reasonably well, particular for lower jump intensities. An application of the studied strategy on the Handelsbanken stock is provided.
Keywords: Financial econometrics; jumps; realized variance; bipower variation; stock price
16 pages, May 20, 2011
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