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Jump detection and long range dependence

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  • Pirino, Davide

Abstract

Memory properties of financial assets are investigated. Using Detrended Fluctuation Analysis we show that the long memory detection in volatility is affected by the presence of jumps, realized volatility being a biased volatility proxy. We propose threshold bipower variation as an alternative volatility estimator unaffected by discontinuous variations. We also show that, with typical sample sizes, DFA is unable to disentangle long memory from short range dependence with characteristic time comparable to the whole sample length.

Suggested Citation

  • Pirino, Davide, 2009. "Jump detection and long range dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1150-1156.
    • Handle: RePEc:eee:phsmap:v:388:y:2009:i:7:p:1150-1156
    DOI: 10.1016/j.physa.2008.12.035
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    References listed on IDEAS

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    Cited by:

    1. Jan Novotny, 2010. "Were Stocks during the Financial Crisis More Jumpy: A Comparative Study," CERGE-EI Working Papers wp416, The Center for Economic Research and Graduate Education - Economics Institute, Prague.

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