Testing for cojumps in high-frequency financial data: an approach based on first-high-low-last prices

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This paper proposes a new test for simultaneous intraday jumps (cojumps) in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, which we then use to form a test statistic that can detect cojumps. Simulations show that a bias corrected version of the test performs well when microstructure noise is present. Applied to a panel of high frequency Chinese equity data, our test identifies cojumps that coincide with announcements relating to monetary policy and stock market regulations.

Original languageEnglish
Pages (from-to)252-274
Number of pages23
JournalJournal of Banking and Finance
Publication statusPublished - 1 Feb 2019


  • Cojumps
  • Covariance
  • First-high-low-last price
  • High-frequency data
  • Realized co-range
  • Realized covariance

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