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Activity Number: 415
Type: Contributed
Date/Time: Wednesday, August 5, 2009 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract - #305183
Title: Testing for Jumps in Financial Time Series
Author(s): Werner Ploberger*+ and Taesuk Lee
Companies: Washington University in St. Louis and University of Rochester/Washington University in St. Louis
Address: Department of Economics, St. Louis, MO, ,
Keywords: financial time series ; tests
Abstract:

In many cases, financial time series are modeled as diffusion processes with an added noise term (the microstructure noise). We discuss some tests for testing this hypothesis against the presence of jumps. We construct alternatives to the usual tests which are---against the alternative of jumps---more powerful than the standard procedures. Our procedures also allow for the consistent estimation of the time of the jumps

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