Testing for simultaneous jumps in case of asynchronous observations. (arXiv:1606.07246v1 [math.ST])1d
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由 Ole Martin, Mathias Vetter[url=][/url] 通过 Statistics authors/titles recent submissions[url=][/url]




This paper proposes a novel test for simultaneous jumps in a bivariate It\^o semimartingale when observation times are asynchronous and irregular. Inference is built on a realized correlation coefficient for the jumps of the two processes which is estimated using bivariate power variations of Hayashi-Yoshida type without an additional synchronization step. An associated central limit theorem is shown whose asymptotic distribution is assessed using a bootstrap procedure. Simulations show that the test works remarkably well in comparison with the much simpler case of regular observations.