New tests for jumps: a threshold-based approach

Mark Podolskij (mpodolskij@creates.au.dk) and Daniel Ziggel (mpodolskij@creates.au.dk)
Additional contact information
Daniel Ziggel: School of Economics and Management, University of Aarhus, Denmark and CREATES, Postal: 8000 Aarhus C, Denmark

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: In this paper we propose a test to determine whether jumps are present in a discretely sampled process or not. We use the concept of truncated power variation to construct our test statistics for (i) semimartingale models and (ii) semimartingale models with noise. The test statistics converge to infinity if jumps are present and have a normal distribution otherwise. Our method is valid (under very weak assumptions) for all semimartingales with absolute continuous characteristics and rather general model for the noise process. We finally implement the test and present the simulation results. Our simulations suggest that for semimartingale models the new test is much more powerful then tests proposed by Barndorff-Nielsen and Shephard (2006) and Aït-Sahalia and Jacod (2008).

Keywords: Central Limit Theorem; High-Frequency Data; Microstructure Noise; Semimartingale Theory; Tests for Jumps; Truncated Power Variation (search for similar items in EconPapers)
JEL-codes: C10 C13 C14 (search for similar items in EconPapers)
Pages: 32
Date: 2008-06-20
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://repec.econ.au.dk/repec/creates/rp/08/rp08_34.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2008-34

Access Statistics for this paper

More papers in CREATES Research Papers from Department of Economics and Business Economics, Aarhus University
Bibliographic data for series maintained by (bhoejklint@econ.au.dk).