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Full-Text Articles in Econometrics
Permutation-Based Tests For Discontinuities In Event Studies, Federico Bugni, Jia Li
Permutation-Based Tests For Discontinuities In Event Studies, Federico Bugni, Jia Li
Research Collection School Of Economics
We propose using a permutation test to detect discontinuities in an underlying economic model at a cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time-series data. The test statistic measures the distance between the empirical distribution functions of observed data in two local subsamples on the two sides of the cutoff. Critical values are computed via a standard permutation algorithm. Under a high-level condition that the observed data can be coupled by a collection of conditionally independent variables, we establish the asymptotic validity of the permutation test, allowing …
Reading The Candlesticks: An Ok Estimator For Volatility, Jia Li, Dishen Wang, Qiushi. Zhang
Reading The Candlesticks: An Ok Estimator For Volatility, Jia Li, Dishen Wang, Qiushi. Zhang
Research Collection School Of Economics
Academic research on nonparametric “spot” volatility inference often relies on high-quality transaction data that are not available to an average investor. Most investors, however, have free access to intraday candlestick charts through their online trading applications. Based on such data, we propose an Optimal candlesticK (OK) estimator for the spot volatility at a given time point. Under a standard infill asymptotic setting for Itˆo semimartingale price process, we show that the OK estimator is asymptotically unbiased and has minimal asymptotic variance within a class of linear estimators. In addition, its estimation error can be coupled by a Brownian functional, whose …