Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics

By Suzanne S. Lee, Per Aslak Mykland. 2008

875 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bcfc904e1c872b11c24c6c907b0716ea27a32d0d

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Citations in the corpus

Modeling financial contagion using mutually exciting jump processes (2015, positive): “A Poissonian model with dependent jumps is non-nested in our model, but can still be tested using appropriate techniques for testing non-nested models along the lines of Vuong (1989). Specifically, we test the following null hypotheses: HI 0 :  = 0   = 1 2;HII 0 :  = 0  = 1 2; HIII 0”
Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (2009, background): “…tests have been proposed for the presence of jumps on the “observed” path of increasingly finer-sampled processes, see Ait-Sahalia and Jacod (2008b), Barndorff-Nielsen and Shephard (2004, 2006a), Huang and Tauchen (2005), Jiang and Oomen (2005), Lee and Mykland (2007), Mancini (2001).”
Econometrics of co-jumps in high-frequency data with noise (2015, methodology): “The method at the same time allows for sequential block-wise testing for co-jumps in the fashion as Lee and Mykland (2008) suggested for a one-dimensional non-noisy setup.”
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting (2010, methodology): “…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 al.…”
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets (2016, methodology): “Following existing studies, e.g. Lee and Mykland (2008) and Bradley et al. (2014), we sample our data at the 15-min frequency.10 Table 1 presents summary statistics for the different (annualized) measures of variance.”
Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach (2008, neutral): “Recently, however, a number of alternative jump tests have been proposed in the literature (e.g. Aı̈t-Sahalia and Jacod, 2006; Lee and Mykland, 2007; Mancini, 2006; Fan and Wang, 2007) and a comprehensive comparison would be interesting.”
High-Frequency Trading and Extreme Price Movements (2018, positive): “11 Our results are similar when we examine all jump events identified by the Lee and Mykland (2012) technique.”
Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks (2010, background): “Huang and Tauchen (2005), Mancini (2001, 2006), Lee and Mykland (2008) and Ait-Sahalia”
Jump detection with wavelets for high-frequency financial time series (2014, methodology): “Following Lee and Mykland (2008), we impose the following assumptions on price processes throughout the paper: For any small > 0, A1 supi supti ≤u≤ti+1 |μu − μti | = Op ( t 1 2 − ) A2 supi supti ≤u≤ti+1 |σu − σti | = Op ( t 1 2 − ) The assumption A1 and A2 can be interpreted as the drift and…”
Measuring Downside Risk - Realised Semivariance (2008, neutral): “Of course these types of measures are likely not 2Threshold based decompositions have also been suggested in the literature, examples of this include Mancini (2001), Jacod (2007) and Lee and Mykland (2008).”
Spectral estimation of the fractional order of a Lévy process (2010, background): “…example, Aït-Sahalia and Jacod (2006) for a semiparametric problem of estimating volatility of a stable process under the presence of Lévy perturbation or Lee and Mykland (2008) and FigueroaLópez and Houdré (2006) for the nonparametric problem of testing and estimation for jump diffusion models.”
Volatility estimation for Bitcoin: Replication and robustness (2019, methodology): “Their test is similar to the non-parametric tests for jumps in Lee and Mykland (2008) and Andersen, Bollerslev, and Dobrev (2007) for daily data.”
Realised quantile-based estimation of the integrated variance (2010, methodology): “With these tools available, it may then be interesting to revisit some of the empirical work on non-parametric 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, i”