Detecting Jumps from Levy Jump Diffusion Processes

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Subfields: Finance

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Testing for jumps in noisy high frequency data (2012, background): “…(2004); Huang and Tauchen (2005) and Andersen et al. (2007) (based on bipower variations), Jiang and Oomen (2008) (based on a swap variance), Lee and Mykland (2008) and Lee and Hannig (2010) (based on detecting ✩ Financial support from the NSF under grant SES-0850533 is gratefully acknowledged.”
Self-Exciting Jumps, Learning, and Asset Pricing Implications (2015, background): “Furthermore, the recent nonparametric works by Äıt-Sahalia and Jacod (2009, 2011) and Lee and Hannig (2010) provide strong evidence on infinite activity jumps in asset returns.”
Jumps and Information Flow in Financial Markets (2012, background): “B are studied in Lee and Mykland (2008b) and Lee and Hannig (2009). For the asymptotic arguments, K needs to satisfy slightly different conditions as stated depending on the choice of volatility estimator.”
Testing whether jumps have finite or infinite activity (2011, background): “…different types of jumps; see Aı̈t-Sahalia (2002), Carr and Wu (2003b), Barndorff-Nielsen and Shephard (2004), Huang and Tauchen (2005), Andersen, Bollerslev and Diebold (2007), Jiang and Oomen (2008), Lee and Mykland (2008), Aı̈t-Sahalia and Jacod (2009b) and Lee and Hannig (2010), among others.”