HKU HKU Dept of Statistics & Actuarial Science, HKU

Seminar by Dr. Simon KWOK from Faculty of Arts and Social Science, University of Sydney

DateWednesday, 16 November 2022
Time2:00 p.m. – 3:00 p.m.
VenueRoom 301, Run Run Shaw Building, HKU
TitleA consistent & robust test for autocorrelated jump occurrences

We develop a nonparametric test for the temporal dependence of jump occurrences in the population. The test is consistent against all pairwise serial dependence, and is robust to the jump activity level and the choice of sampling scheme. We establish asymptotic normality and local power property for a rich set of local alternatives, including both self-exciting and/or self-inhibitory jumps. Simulation study confirms the robustness of the test and reveals its competitive size and power performance over existing tests. In an empirical study on high-frequency stock returns, our procedure uncovers a wide array of autocorrelation profiles of jump occurrences for different stocks in different time periods.

About the speaker

Dr. Simon Kwok is a Senior Lecturer at the Faculty of Arts and Social Science, University of Sydney. He obtained his PhD in Economics from Cornell University in August 2012. His research interests are in time series econometrics, statistics and finance. In particular, he is interested in specification tests of time series and point process models, tests of Granger causality, and their empirical applications in market microstructure, credit contagion and financial contagion.