Author(s)

Chao Yu¹, Xujie Zhao², Feng Zhang¹

¹School of Statistics, University of International Business and Economics, Beijing, China.
²School of International Trade and Economics, University of International Business and Economics, Beijing, China.

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.

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

Yu, C. , Zhao, X. and Zhang, F. (2017) Measuring the Intraday Jump Tail Risk of Financial Asset Price with Noisy High Frequency Data. Open Journal of Statistics, 7, 72-83. doi: 10.4236/ojs.2017.71006.