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

Worapree Maneesoonthorn (), Gael Martin () and Catherine Forbes ()

No 3/20, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

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.

Keywords: price jump tests; nonparametric jump measures; bivariate jump diffusion model; volatility jumps; microstructure noise; sampling frequency (search for similar items in EconPapers)
JEL-codes: C12 C22 C58 (search for similar items in EconPapers)
Pages: 17
Date: 2020
New Economics Papers: this item is included in nep-ets, nep-mst and nep-ore
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