Publications [#238962] of George E. Tauchen

Journal Articles

1. Huang, X; Tauchen, G, The Relative Contribution of Jumps to Total Price Variance, Journal of Financial Econometrics, vol. 3 no. 4 (Fall, 2005), pp. 456-499, Oxford University Press [htm], [doi]
   (last updated on 2024/01/01)

   Abstract:
   We examine tests for jumps based on recent asymptotic results; we interpret the tests as Hausman-type tests. Monte Carlo evidence suggests that the daily ratio z-statistic has appropriate size, good power, and good jump detection capabilities revealed by the confusion matrix comprised of jump classification probabilities. We identify a pitfall in applying the asymptotic approximation over an entire sample. Theoretical and Monte Carlo analysis indicates that microstructure noise biases the tests against detecting jumps, and that a simple lagging strategy corrects the bias. Empirical work documents evidence for jumps that account for 7% of stock market price variance. © The Author 2005. Published by Oxford University Press. All rights reserved.