Concepedia

Jump Detection

Jump Detection is a methodological framework within high-frequency time series analysis that identifies abrupt, discontinuous changes in the sample path of a stochastic process, distinguishing itself from continuous variation by isolating non-continuous, short-duration deviations attributable to exogenous shocks or market microstructure effects.

279

Publications

20K

Citations

532

Authors

375

Institutions

Publications per year

2017–2026

57

Parents

Publications

279

Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold · The Review of Economics and Statistics · 2007 · 1.5K citations

, , +17

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

Ole E. Barndorff–Nielsen · Journal of Financial Econometrics · 2005 · 1.4K citations

, , +17

Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics

Suzanne S. Lee, Per A. Mykland · Review of Financial Studies · 2007 · 907 citations

, , +17

A generalized likelihood ratio approach to the detection and estimation of jumps in linear systems

Alan S. Willsky, Harold E. Jones · IEEE Transactions on Automatic Control · 1976 · 863 citations

, , +17

The Relative Contribution of Jumps to Total Price Variance

Xin Huang · Journal of Financial Econometrics · 2005 · 857 citations

, , +17

1–5 of 279

Authors

532

  1. PQ
    Peihua Qiu

    University of Florida, United States

    12 publications · 333 citations

    11

    h-index

  2. JJ
    Jean Jacod

    Sorbonne Université, France

    11 publications · 1.8K citations

    11

    h-index

  3. YA
    Yacine Aı̈t-Sahalia

    Princeton University, United States

    8 publications · 1.4K citations

    8

    h-index

  4. GT
    George Tauchen

    Duke University, United States

    8 publications · 896 citations

    8

    h-index

  5. SL
    Sébastien Laurent

    UCLouvain, Belgium

    8 publications · 672 citations

    8

    h-index

1–5 of 532

Institutions

375

  1. Centre National de la Recherche Scientifique

    Paris, France

    11 h-index

    18 publications

    828 citations

  2. Duke University

    Durham, United States

    11 h-index

    16 publications

    3.6K citations

  3. Sorbonne Université

    Paris, France

    10 h-index

    11 publications

    1.9K citations

  4. Princeton University

    Princeton, United States

    9 h-index

    12 publications

    1.4K citations

  5. Georgia Institute of Technology

    Atlanta, United States

    7 h-index

    7 publications

    1.3K citations

  6. University of Wisconsin–Madison

    Madison, United States

    7 h-index

    11 publications

    392 citations

  7. University of Minnesota

    Minneapolis, United States

    6 h-index

    8 publications

    240 citations

  8. Ruhr University Bochum

    Bochum, Germany

    5 h-index

    7 publications

    163 citations

1–8 of 375

Venues

  1. SSRN Electronic Journal

    Repository · 23 publications · 1.1K citations

    16

    h-index

  2. Journal of Econometrics

    13 publications · 1.1K citations

    12

    h-index

  3. The Annals of Statistics

    7 publications · 1.1K citations

    7

    h-index

  4. RePEc: Research Papers in Economics

    Repository · 6 publications · 158 citations

    6

    h-index

  5. Technometrics

    6 publications · 203 citations

    6

    h-index

1–5