Testing for self-excitation in jumps

Boswijk, H. Peter; Laeven, Roger J. A.; Yang, Xiye

doi:10.1016/j.jeconom.2017.11.007

Cited by 37 publications

(21 citation statements)

References 32 publications

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“…This is consistent with the finding that 5-seconds returns are positively correlated, which might be explained by self- and/or mutual excitation in jumps (see e.g. Aït-Sahalia et al (2015) and Boswijk et al (2015)). For instance, it could be the case that occurred jumps tend to excite other jumps with the same sign in the short run.…”

supporting

confidence: 91%

Estimation of the Continuous and Discontinuous Leverage Effects

Aı̈t-Sahalia

Fan

Laeven

et al. 2017

Journal of the American Statistical Association

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This paper examines the leverage effect, or the generally negative covariation between asset returns and their changes in volatility, under a general setup that allows the log-price and volatility processes to be Itô semimartingales. We decompose the leverage effect into continuous and discontinuous parts and develop statistical methods to estimate them. We establish the asymptotic properties of these estimators. We also extend our methods and results (for the continuous leverage) to the situation where there is market microstructure noise in the observed returns. We show in Monte Carlo simulations that our estimators have good finite sample performance. When applying our methods to real data, our empirical results provide convincing evidence of the presence of the two leverage effects, especially the discontinuous one.

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supporting

confidence: 91%

Estimation of the Continuous and Discontinuous Leverage Effects

Aı̈t-Sahalia

Fan

Laeven

et al. 2017

Journal of the American Statistical Association

Self Cite

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“…In this paper, we use the self-motivation test method of price jump to make empirical analysis [16]. Boswijk extends the activity of price jump to infinite jump.…”

Section: Price Jump Self-motivation Testmentioning

confidence: 99%

“…Later research studied the correlation between jumps which they called self-motivation in a continuous semimartingale with jump component [15]. Another research team proposed methods to test jump self-motivation [16] [17]. In [15], the self-motivation of price jump is determined by a time-varying intensity process which can be expressed as a differential equation of time and counting process.…”

Section: Introductionmentioning

confidence: 99%

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The Long Memory of the Jump Intensity of the Price Process

Tian¹,

Shi²,

Li³

2021

JMF

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The impact of successive jumps in price process on volatility is very important. We study the nature of self-motivation in price process using data from China's stock market. Our empirical results suggest that: 1) Price jumps in China's stock market are generally self-motivated, i.e., price jumps are clustering. 2) The jump intensity of China's stock market is time-varying, and follows log-normal distribution, which indicates that the jump intensity is asymmetrical. 3) The jump intensities' sequence exhibits typical long memory.

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“…When the proposed tests are implemented prior to model speci…cation, standard estimation of jump di¤usions can be subsequently carried out, avoiding the identi…cation problems discussed above. Recently, Boswijk, Laeven and Yang (2017) and Dungey, Erdemlioglu, Matei and Yang (2018) have suggested tests for self-excitation and mutual excitation in realized jumps. Our tests instead detect jump self-excitation in the data generating process.…”

Section: Introductionmentioning

confidence: 99%