Boswijk, H., Laeven, R. and Yang, X. (2018). Testing for self-excitation in jumps Journal of Econometrics, 203(2):256--266.
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Affiliated authors
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Publication year2018
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JournalJournal of Econometrics
This paper extends the notion of self-excitation in jumps to a rich class of continuous time semimartingale models, proposes statistical tests to detect its presence in a discretely observed sample path at high frequency, and derives the tests’ asymptotic properties. Our statistical setting is semiparametric: except for necessary parametric assumptions on the jump size measure, the other components of the semimartingale model are left essentially unrestricted. We analyze the finite sample performance of our tests in Monte Carlo simulations.