Article citationsMore>>

Hasbrouck, J. (2004) Lecture Notes for Ph.D. Seminar in Empirical Market Microstructure. New York University, New York.

has been cited by the following article:

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

  AUTHORS: Chao Yu, Xujie Zhao, Feng Zhang

  KEYWORDS: High Frequency Data, Intraday Jump, Microstructure Noise, Jump Tail Risk, Pre-Averaging

  JOURNAL NAME: Open Journal of Statistics, Vol.7 No.1, February 20, 2017

  ABSTRACT: 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.