Testing for jumps in a discretely observed process
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Publication:1002155
DOI10.1214/07-AOS568zbMATH Open1155.62057arXiv0903.0226MaRDI QIDQ1002155FDOQ1002155
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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