High-Frequency Jump Tests: Which Test Should We Use?

Worapree Maneesoonthorn, Gael M. Martin and Catherine Forbes

Papers from arXiv.org

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.

Date: 2017-08, Revised 2020-01
New Economics Papers: this item is included in nep-ecm and nep-mst
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Citations: View citations in EconPapers (15)

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Journal Article: High-frequency jump tests: Which test should we use? (2020)
Working Paper: High-Frequency Jump Tests: Which Test Should We Use? (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1708.09520

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