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arXiv · 1407.4376

Common price and volatility jumps in noisy high-frequency data

Markus Bibinger·Lars Winkelmann
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Abstract

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local estimators of volatility jumps at price jump arrival times are designed using a nonparametric spectral estimator of the spot volatility process. A simulation study and an empirical example with NASDAQ order book data demonstrate the practicability of the proposed methods and highlight the important role played by price volatility co-jumps.

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Markus Bibinger, Lars Winkelmann. 2014-07-16. Common price and volatility jumps in noisy high-frequency data. https://arxiv.org/abs/1407.4376

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