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Bootstrapping high-frequency jump tests: Supplementary Appendix. â. Prosper Dovonon. Concordia University. Sılvia Gonçalves. University of Western Ontario. Ulrich Hounyo. Aarhus University. Nour Meddahi. Toulouse School of Economics, Toulouse Uni
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Nov 15, 2017 - Section 3.1 contains a set of high level conditions on {vn i } such that any bootstrap method is asymptotically valid when testing for jumps using ...
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Nov 15, 2017 - better finite sample properties than the original tests based on the asymptotic normal distribution. Specifically, we generate the bootstrap ... rates that converge faster to the desired nominal level than those of the corresponding as
Dec 19, 2016 - of a standardized version of intraday returns (such as in Lee and Mykland (2008, 2012)). In addition, tests ... show that although truncation is not needed for the bootstrap jump test to control the asymptotic size ... version. Our res
Jun 26, 2015 - In this paper, we consider bootstrap jump tests based on functions of .... Section 6 gives simulations while Section 7 provides an empirical application. ..... improves finite sample performance of the bootstrap jump tests.
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