Measuring the Intraday Jump Tail Risk of Financial Asset Price with Noisy High Frequency Data

Chao Yu; Xujie Zhao; Feng Zhang

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Measuring the Intraday Jump Tail Risk of Financial Asset Price with Noisy High Frequency Data

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This paper proposes a simple two-step nonparametric procedure to estimate the intraday jump tail and measure the jump tail risk in asset price with noisy high frequency data. We first propose the pre-averaging threshold approach to estimate the intraday jumps occurred, and then use the peaks-over-threshold (POT) method and generalized Pareto distribution (GPD) to model the intraday jump tail and further measure the jump tail risk. Finally, an empirical example further demonstrates the power of the proposed method to measure the jump tail risk under the effect of microstructure noise.

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《统计学期刊（英文）》|2017年第1期|72-83|共12页
作者
Chao Yu; Xujie Zhao; Feng Zhang;
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作者单位

School of Statistics, University of International Business and Economics, Beijing, China;

School of International Trade and Economics, University of International Business and Economics, Beijing, China;

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原文格式 PDF
正文语种 chi
中图分类肿瘤学;
关键词
High; Frequency; Data; Intraday; Jump; Microstructure; Noise; Jump; Tail; Risk; Pre-Averaging;

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Measuring the Intraday Jump Tail Risk of Financial Asset Price with Noisy High Frequency Data

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