Template-Type: ReDIF-Paper 1.0
Author-Name:Markus Bibinger
Author-X-Name-First: Markus 
Author-X-Name-Last: Bibinger
Author-Name: Lars Winkelmann
Author-X-Name-First: Lars
Author-X-Name-Last: Winkelmann
Author-Name: 
Author-X-Name-First: 
Author-X-Name-Last: 
Author-Name: 	
Author-X-Name-First: 	
Author-X-Name-Last:
Title: Common price and volatility jumps in noisy high-frequency data
Abstract: We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency tick-data and is robust to market
microstructure frictions. To localize volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and an empirical example with
NASDAQ order book data demonstrate the practicability of the proposed methods and highlight the important role played by price volatility co-jumps.
Length: 36 pages
Creation-Date:  2014-07
File-URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2014-037.pdf
File-Format: Application/pdf
Number: SFB649DP2014-037
Classification-JEL: E58, C14
Keywords: high-frequency data; microstructure noise; nonparametric volatility estimation; volatility
jumps
Handle: RePEc:hum:wpaper:SFB649DP2014-037