
on Econometric Time Series 
By:  Yin Liao; Heather M. Anderson 
Abstract:  This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize intraday firsthighlowlast values of asset prices to construct estimates for the crossvariation of returns in a large panel of high frequency financial data, and then employ these estimates to provide a firsthighlowlast price based test statistic to detect common large discrete movements (cojumps). We study the finite sample behavior of our firsthighlowlast price based test using Monte Carlo simulation, and find that it is more powerful than the Bollerslev et al (2008) returnbased cojump test. When applied to a panel of high frequency data from the Chinese mainland stock market, our firsthighlowlast price based test identifies more common jumps than the returnbased test in this emerging market. 
Keywords:  Covariance, Cojumps, Highfrequency data, FirstHighLowLast price, Microstructure bias, Nonsynchronous trades, Realized covariance, Realized corange. 
JEL:  C12 C22 C32 G12 G14 
Date:  2011–08–18 
URL:  http://d.repec.org/n?u=RePEc:msh:ebswps:20119&r=ets 
By:  Greg Hannsgen 
Abstract:  This paper adumbrates a theory of what might be going wrong in the monetary SVAR literature and provides supporting empirical evidence. The theory is that macroeconomists may be attempting to identify structural forms that do not exist, given the true distribution of the innovations in the reducedform VAR. The paper shows that this problem occurs whenever (1) some innovation in the VAR has an infinitevariance distribution and (2) the matrix of coefficients on the contemporaneous terms in the VAR's structural form is nonsingular. Since (2) is almost always required for SVAR analysis, it is germane to test hypothesis (1). Hence, in this paper, we fit astable distributions to VAR residuals and, using a parametricbootstrap method, test the hypotheses that each of the error terms has finite variance. 
Keywords:  Vector Autoregression; Levystable Distribution; Infinite Variance; Monetary Policy Shocks; Heavytailed Error Terms; Factorization; ImpulseResponse Function 
JEL:  C32 C46 C50 E30 E52 
Date:  2011–08 
URL:  http://d.repec.org/n?u=RePEc:lev:wrkpap:wp_682&r=ets 
By:  Antoine Jacquier; Martin KellerRessel; Aleksandar Mijatovic 
Abstract:  Let $\sigma_t(x)$ denote the implied volatility at maturity $t$ for a strike $K=S_0 e^{xt}$, where $x\in\bbR$ and $S_0$ is the current value of the underlying. We show that $\sigma_t(x)$ has a uniform (in $x$) limit as maturity $t$ tends to infinity, given by the formula $\sigma_\infty(x)=\sqrt{2}(h^*(x)^{1/2}+(h^*(x)x)^{1/2})$, for $x$ in some compact neighbourhood of zero in the class of affine stochastic volatility models. The function $h^*$ is the convex dual of the limiting cumulant generating function $h$ of the scaled logspot process. We express $h$ in terms of the functional characteristics of the underlying model. The proof of the limiting formula rests on the large deviation behaviour of the scaled logspot process as time tends to infinity. We apply our results to obtain the limiting smile for several classes of stochastic volatility models with jumps used in applications (e.g. Heston with stateindependent jumps, Bates with statedependent jumps and BarndorffNielsenShephard model). 
Date:  2011–08 
URL:  http://d.repec.org/n?u=RePEc:arx:papers:1108.3998&r=ets 