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arXiv · 1606.07246

Testing for simultaneous jumps in case of asynchronous observations

Ole Martin·Mathias Vetter
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Abstract

This paper proposes a novel test for simultaneous jumps in a bivariate It\^o semimartingale when observation times are asynchronous and irregular. Inference is built on a realized correlation coefficient for the jumps of the two processes which is estimated using bivariate power variations of Hayashi-Yoshida type without an additional synchronization step. An associated central limit theorem is shown whose asymptotic distribution is assessed using a bootstrap procedure. Simulations show that the test works remarkably well in comparison with the much simpler case of regular observations.

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Ole Martin, Mathias Vetter. 2016-06-23. Testing for simultaneous jumps in case of asynchronous observations. https://arxiv.org/abs/1606.07246

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