Testing for jumps in a discretely observed process

DOI10.1214/07-AOS568zbMATH Open1155.62057arXiv0903.0226MaRDI QIDQ1002155FDOQ1002155

Authors: Yacine Aït-Sahalia, Jean Jacod 

Publication date: 25 February 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: 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^{o} 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.

Full work available at URL: https://arxiv.org/abs/0903.0226

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zbMATH Keywords

discrete samplinghigh-frequency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (only showing first 100 items - show all)

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