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
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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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