on the power and size properties of cointegration tests in the light of high-frequency stylized facts

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ID: 229756
2017
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Abstract
This paper establishes a selection of stylized facts for high-frequency cointegrated processes, based on one-minute-binned transaction data. A methodology is introduced to simulate cointegrated stock pairs, following none, some or all of these stylized facts. AR(1)-GARCH(1,1) and MR(3)-STAR(1)-GARCH(1,1) processes contaminated with reversible and non-reversible jumps are used to model the cointegration relationship. In a Monte Carlo simulation, the power and size properties of ten cointegration tests are assessed. We find that in high-frequency settings typical for stock price data, power is still acceptable, with the exception of strong or very frequent non-reversible jumps. Phillips–Perron and PGFF tests perform best.
Reference Key
krauss2017journalon Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;Christopher Krauss;Klaus Herrmann
Journal Resuscitation
Year 2017
DOI
10.3390/jrfm10010007
URL
http://www.mdpi.com/1911-8074/10/1/7
Keywords Keywords not found

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