An adaptive jump test for discretely observed high-frequency semimartingales is constructed by merging the Aït-Sahalia-Jacod ratio statistic and Lee-Mykland extreme-return statistic with the Cauchy combination rule, yielding asymptotic independence and closed-form power under the continuous null.
Statistical Inference for Stochastic Processes , year =
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Adaptive Test for Jump
An adaptive jump test for discretely observed high-frequency semimartingales is constructed by merging the Aït-Sahalia-Jacod ratio statistic and Lee-Mykland extreme-return statistic with the Cauchy combination rule, yielding asymptotic independence and closed-form power under the continuous null.