DO PRICE AND VOLATILITY JUMP TOGETHER?
成果类型：
Article
署名作者：
Jacod, Jean; Todorov, Viktor
署名单位：
Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Paris Cite; Sorbonne Universite; Northwestern University
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/09-AAP654
发表日期：
2010
页码：
1425-1469
关键词：
摘要：
We consider a process X(t), which is observed on a finite time interval [0, T], at discrete times 0, Delta(n), 2 Delta(n), ... . This process is an Ito semimartingale with stochastic volatility sigma(2)(t). Assuming that X has jumps on [0, T], we derive tests to decide whether the volatility process has jumps occurring simultaneously with the jumps of X(t). There are two different families of tests for the two possible null hypotheses (common jumps or disjoint jumps). They have a prescribed asymptotic level as the mesh Delta(n) goes to 0. We show on some simulations that these tests perform reasonably well even in the finite sample case, and we also put them in use on S&P 500 index data.
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