W&R-Gastvortrag: Jump Regressions Revisited
A relevant question in the econometrics literature is whether a jump in one stochastic process Z triggers a jump in a related process Y. Starting with the work by Li, Todorov and Tauchen (2017), several papers have discussed this issue, typically in the situation where a jump in Z forces Y to have a jump as well, with the size of the jump in Y given as a function of the simultaneous jump in Z. Asymptotics are then derived in a high-frequency setting, often with the functional relation being linear and based on finite activity jumps in Y and Z. In this talk, we will discuss more realistic scenarios, including infinite activity jumps and a more classical regression assumption, namely that the jump sizes in Y are not given exactly by a function of the corresponding jump size in Z, but involving additional i.i.d. errors. We will sketch how asymptotical results can be obtained in two different situations.
Veranstalter
Vortragende(r)
Prof. Dr. Mathias Vetter
Mathematisches Seminar
Christian-Albrechts-Universität zu Kiel
Kontakt
Christina Kopetzky (vwl2 [at] aau [dot] at)
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