The Annals of Statistics · 2009 · 588 citations · 16 references
Social SciencesEconomicsFinanceEconometricsFinancial EconomicsStochastic ProcessesAsset Pricing EmpiricsAsset Return ModelingDiscrete-time Stochastic ProcessesJump ProcessesJump DetectionJump-diffusion ModelsJump-diffusion ProcessesSemimartingale ModelsSemimartingalesSimulation Of Jump ProcessesTest Statistic
We propose a new test to determine whether jumps are present in asset returns or other discretely sampled processes. As the sampling interval tends to 0, our test statistic converges to 1 if there are jumps, and to another deterministic and known value (such as 2) if there are no jumps. The test is valid for all It semimartingales, depends neither on the law of the process nor on the coefficients of the equation which it solves, does not require a preliminary estimation of these coefficients, and when there are jumps the test is applicable whether jumps have finite or infinite-activity and for an arbitrary Blumenthal-Getoor index. We finally implement the test on simulations and asset returns data.
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The Relative Contribution of Jumps to Total Price Variance
Xin Huang · Journal of Financial Econometrics · 2005 · 857 citations