| Publications [#49763] of Xin Huang
Papers Published
- Xin Huang and George Tauchen, The Relative Contribution of Jumps to Total Price Variance,
Journal of Financial Econometrics, vol. 3 no. 4
(August, 2005),
pp. 456-499, Oxford University Press [dtl]
(last updated on 2006/10/19)
Abstract: We examine tests for jumps based on recent asymptotic results; weinterpret the tests as Hausman-type tests. Monte Carlo evidencesuggests that the daily ratio $z$-statistic has appropriate size,good power, and good jump detection capabilities revealed by theconfusion matrix comprised of jump classification probabilities.We identify a pitfall in applying the asymptotic approximationover an entire sample. Theoretical and Monte Carlo analysisindicates that microstructure noise biases the tests againstdetecting jumps, and that a simple lagging strategy corrects thebias. Empirical work documents evidence for jumps that account forseven percent of stock market price variance.
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