Testing and detecting jumps based on a discretely observed process

Yingying Fan and Jianqing Fan

Journal of Econometrics, 2011, vol. 164, issue 2, 331-344

Abstract: We propose a new nonparametric test for detecting the presence of jumps in asset prices using discretely observed data. Compared with the test in Aït-Sahalia and Jacod (2009), our new test enjoys the same asymptotic properties but has smaller variance. These results are justified both theoretically and numerically. We also propose a new procedure to locate the jumps. The jump identification problem reduces to a multiple comparison problem. We employ the false discovery rate approach to control the probability of type I error. Numerical studies further demonstrate the power of our new method.

Keywords: Jump; diffusion; process; Test; for; jumps; High; frequency; Stable; convergence; False; discovery; rate (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:164:y:2011:i:2:p:331-344

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