Testing for non-correlation between price and volatility jumps
价格跳跃与波动率跳跃不相关性的检验
We consider a log-price process Xt, which is observed at discrete times 0,Δn, 2Δn,…, and the process has a stochastic squared volatility σt2. Assuming that the price process as well as the volatility process have common jumps, we suggest tests for non-correlation between log-price and squared volatility jumps, or functions of such jumps. Our tests have a prescribed asymptotic level, as the mesh Δn tends to 0 and the observation time Tn tends to ∞. The finite sample…