Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach

By George J. Jiang, Roel C. A. Oomen. 2008

300 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6700dc7e2de260adcd75b4efa21c7b832498a1d0

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Citations in the corpus

Variance Risk-Premium Dynamics: The Role of Jumps (2010, background): “Indeed, recently Barndorff-Nielsen and Shephard (2006), Jiang and Oomen (2008), Ait-Sahalia and Jacod (2009), Lee and Mykland (2008) and Jacod and Todorov (2009) propose different nonparametric tests for presence of price jumps based on high-frequency data.”
Quadratic Variance Swap Models (2016, unknown): “This suggests that (footnote continued) Jiang and Tian (2005), Jiang and Oomen (2008), Carr and Wu (2009), and Carr and Lee (2010).”
HAR Modeling for Realized Volatility Forecasting (2012, unknown): “Recent research focusing on jump detection and volatility measuring in presence of jumps includes [12], [62], [59], [56], [2], [1], [29], [63] and [24].”
Resolution of Policy Uncertainty and Sudden Declines in Volatility (2017, unknown): “9 There is a large literature on jump detection with intraday data, see e.g. Huang and Tauchen (2005), Barndorff-Nielsen and Shephard (2006), Lee and Mykland (2008), Jiang and Oomen (2008), Jacod and Todorov (2009), and Aït-Sahalia and Jacod (2009).”
Exploring Return Dynamics via Corridor Implied Volatility (2015, unknown): “While Jiang & Tian (2005) and Carr & Wu (2009) conclude that jumps are unlikely to create sizable biases, this view has been revised in the wake of the financial crisis, see, e.”
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.”
Cross-Stock Comparisons of the Relative Contribution of Jumps to Total Price Variance (2012, methodology): “This paper considers a test from Jiang and Oomen (2008) that exploits higher moments of the return process, thereby providing a method of testing for jumps without resorting to RJ BV,t .”
Realised quantile-based estimation of the integrated variance (2010, background): “…jump tests (e.g. Aït-Sahalia and Jacod, 2009a,b; Barndorff-Nielsen and Shephard, 2006; Christensen and Podolskij, 2009; Fan and Wang, 2007; Jiang and Oomen, 2008; Lee and Mykl, 2008) and, inspired by our empirical findings, reevaluate the role that jumps play in financial equity price…”
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting (2010, background): “A partial list of recent studies on this topic includes test specification of Aı̈t-Sahalia (2004), Jiang and Oomen (2008), BarndorffNielsen and Shephard (2006), Lee and Mykland (2008) and Aı̈t-Sahalia and Jacod (2009), as well as the empirical studies of and Maheu and McCurdy (2004); Bollerslev et…”
Econometrics of co-jumps in high-frequency data with noise (2015, background): “In this context, let us mention the important contributions by Barndorff-Nielsen and Shephard (2006), Jiang and Oomen (2008), Bollerslev et al. (2008), Mancini (2009), Jacod (2008), Fan and Wang (2007), Podolskji and Ziggel (2010) and Curci and Corsi (2012).”
Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests (2011, unknown): “…and Shephard (2006), in this article we consider eight other tests proposed by Andersen, Bollerslev, and Dobrev (2007), Aı̈t-Sahalia and Jacod (2008), Jiang and Oomen (2008), Lee and Mykland (2008), Andersen, Dobrev, and Schaumburg (2009) [two tests based on the minimum and median realized…”
Testing for jumps in noisy high frequency data (2012, background): “…on short dated options), Barndorff-Nielsen and Shephard (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…”
Jump detection with wavelets for high-frequency financial time series (2014, methodology): “Jiang and Oomen (2008) proposed a jump test based on the idea of a ‘variance swap’ and explicitly accounted for market microstructure effects.”
Systemic Co-Jumps (2017, unknown): “A vast literature concentrates on univariate jump tests applied to broad portfolios, such as stock indices, see, e.g., Barndorff-Nielsen and Shephard (2006); Andersen et al. (2007b); Lee and Mykland (2008); Jiang and Oomen (2008); Aı̈tSahalia and Jacod (2009); Corsi et al. (2010).”