High-frequency jump tests: which test should we use?

DOI10.1016/J.JECONOM.2020.03.012MaRDI QIDQ2224890zbMATH OpenOpenAlexFDO

Authors Worapree Maneesoonthorn, Gael M. Martin, Catherine S. Forbes

Publication date 4 February 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.09520

zbMATH Keywords

bivariate jump diffusion modelmicrostructure noisenonparametric jump measuresprice jump testssampling frequencyvolatility jumps

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: We conduct an extensive evaluation of price jump tests based on high-frequency financial data. After providing a concise review of multiple alternative tests, we document the size and power of all tests in a range of empirically relevant scenarios. Particular focus is given to the robustness of test performance to the presence of jumps in volatility and microstructure noise, and to the impact of sampling frequency. The paper concludes by providing guidelines for empirical researchers about which test to choose in any given setting.

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Cites work

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Cited in

(7)

• Testing for mutually exciting jumps and financial flights in high frequency data
• Editorial. Special issue of the Journal of Econometrics on ``Econometric estimation and testing: essays in honour of Maxwell King
• Jump detection with wavelets for high-frequency financial time series
• Testing the volatility jumps based on the high frequency data
• Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data
• Jumps or Staleness?
• Testing for jumps in a discretely observed price process with endogenous sampling times

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