The null hypothesis of (common) jumps in case of irregular and asynchronous observations

Ole Martin and Mathias Vetter

Scandinavian Journal of Statistics, 2020, vol. 47, issue 3, 711-756

Abstract: This paper proposes novel tests for the absence of jumps in a univariate semimartingale and for the absence of common jumps in a bivariate semimartingale. Our methods rely on ratio statistics of power variations based on irregular observations, sampled at different frequencies. We develop central limit theorems for the statistics under the respective null hypotheses and apply bootstrap procedures to assess the limiting distributions. Furthermore, we define corrected statistics to improve the finite sample performance. Simulations show that the test based on our corrected statistic yields good results and even outperforms existing tests in the case of regular observations.

Date: 2020
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https://doi.org/10.1111/sjos.12422

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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:47:y:2020:i:3:p:711-756

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