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Table 14: Summary of our results: size and power properties and behavior in the presence of microstructure noise for all the tests

Table 14 Summary of our results: size and power properties and behavior in the presence of microstructure noise for all the tests

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Table 2: Size of the tests for jumps for the SVIF model with medium mean reversion results is available upon request. In Table 2, if we look at all the sampling frequencies, the biggest size distortion is encountered reversion parameter, without affecting the ranking of the tests.
Table 2: Size of the tests for jumps for the SVIF model with medium mean reversion results is available upon request. In Table 2, if we look at all the sampling frequencies, the biggest size distortion is encountered reversion parameter, without affecting the ranking of the tests.
Table 3: Size of the tests for jumps for the SV2F model, for a 5% significance level Table 3 reports the empirical size for the SV2F model. seems to work well at higher frequencies.
Table 3: Size of the tests for jumps for the SV2F model, for a 5% significance level Table 3 reports the empirical size for the SV2F model. seems to work well at higher frequencies.
Table 4: Size corrected power for varying jump intensities and a 5% significance level. jump intensity. The frequency of correctly identified jumps increases as the jump intensity raises. The best tests in terms of power are the intraday ABD-LM procedures and the PZ test. Let us
Table 4: Size corrected power for varying jump intensities and a 5% significance level. jump intensity. The frequency of correctly identified jumps increases as the jump intensity raises. The best tests in terms of power are the intraday ABD-LM procedures and the PZ test. Let us
Table 5: Size corrected power for a varying jump variance and a 5% significance level.
Table 5: Size corrected power for a varying jump variance and a 5% significance level.
Table 6: Size in the presence of i.i.d. microstructure noise with with varying variance for a 5% significance level corrections for the test statistics in the presence of i.i.d. noise.
Table 6: Size in the presence of i.i.d. microstructure noise with with varying variance for a 5% significance level corrections for the test statistics in the presence of i.i.d. noise.
Table 7: Power of the tests in the presence of i.i.d. microstructure noise with with varying variance for a 5% significance level contamination are reported in Table 7 The hierarchy of the tests in terms of power remains close to the one for the case of no noise.
Table 7: Power of the tests in the presence of i.i.d. microstructure noise with with varying variance for a 5% significance level contamination are reported in Table 7 The hierarchy of the tests in terms of power remains close to the one for the case of no noise.
Table 8 reports the results from combining frequencies for the BNS, CPR, ABD-LM, Med, Min, In addition to mixing sampling frequencies, we also combine different tests applied on data sam-
Table 8 reports the results from combining frequencies for the BNS, CPR, ABD-LM, Med, Min, In addition to mixing sampling frequencies, we also combine different tests applied on data sam-
Table 9: Results from combining different tests for jumps for data sampled every 5 minutes
Table 9: Results from combining different tests for jumps for data sampled every 5 minutes
Table 11: Proportion of days with jumps, at different sampling frequencies, as identified by the following procedures: AJ (both versions), BNS, CPR, JO, ABD-LM, Med, Min and PZ
Table 11: Proportion of days with jumps, at different sampling frequencies, as identified by the following procedures: AJ (both versions), BNS, CPR, JO, ABD-LM, Med, Min and PZ
the percentages of jumps occurring during the period considered. “‘inally, we evaluate the contribution of jumps to the quadratic variation of the price process. For
the percentages of jumps occurring during the period considered. “‘inally, we evaluate the contribution of jumps to the quadratic variation of the price process. For
Related topics:
EconomicsStochastic VolatilityMicrostructure NoiseNew York Stock ExchangeHigh Frequency Data
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