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CRETA Workshop on Advanced Econometrics 14 - 26 October 2012, CRETA Workshop on Advanced Econometrics 14
CRETA is honored to invite Professor Heather Anderson from Monash University as a visitor from Oct. 23- Oct. 27. During her visit, Prof. Anderson will give a lecture on Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices on CRETA Workshop on Advanced Econometrics 14. The workshop is due to take place on Oct. 26 (Fri.) at Kuan Te Lecture Hall, 2F, Bldg. 1, College of Management, NTU (台大管理學院一號館 2 樓冠德講堂). All participants are welcomed! Please be sure to register your attendance online by noon, Oct. 24 (Wed.).
Besides, in order to have more chances to interact with local students and scholars, Professor Anderson will have public office hours at 10am~12pm on Oct. 26(Fri.) Her office at CRETA is Rm. 415, 4F, Bldg. 2, College of Management, NTU
*Date: Oct. 26(Fri.), 2012, 14:00 pm – 16:00 pm
*Venue: Kuan Te Lecture Hall, 2F, College of Management, NTU
(台灣大學管理學院一號館 2F 冠德講堂)
*Topic: Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
This paper proposes a new test for simultaneous intraday jumps (co-jumps) in a panel of high frequencyfinancial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, and then employ these estimates to provide a test statistic that can detect co-jumps. Simulations show that a bias corrected version of the test can be used in the presence of microstructure noise. When applied to a panel of high frequency data from the Chinese mainland stock market, our test identifies co-jumps that can be associated with announcements relating to monetary policy and stock market regulations.
*Department of Econometrics and Business Statistics, Monash University
*Maureen Brunt Chair in Economics and Econometrics
*Co-Editor of Empirical Economics
*Associate Editor of Journal of Applied Econometrics
Oct.26 (Fri.) Kuan Te Lecture Hall, 2F (二樓冠德講堂)
15:30-16:00: Tea Time and Discussion
*Lecture in English