A bootstrap test for jumps in financial economics |
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Authors: | Eunju Hwang Dong Wan Shin |
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Institution: | 1. Department of Applied Statistics, Gachon University, Republic of Korea;2. Department of Statistics, Ewha University, Republic of Korea |
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Abstract: | An i.i.d. bootstrap is applied for the ratio test of Barndorff-Nielsen and Shephard (2006) for jumps in jump diffusion processes. Asymptotic validity is established for the bootstrap test both under the null of no jump and under the alternative of jumps. Finite sample simulation shows that the bootstrap test has more stable size than the ratio test of Barndorff-Nielsen and Shephard (2006). |
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Keywords: | C22 |
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