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arxiv: 0903.0226 · v1 · submitted 2009-03-02 · 🧮 math.ST · stat.TH

Testing for jumps in a discretely observed process

classification 🧮 math.ST stat.TH
keywords jumpstestthereassetcoefficientsdiscretelyprocessreturns
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We propose a new test to determine whether jumps are present in asset returns or other discretely sampled processes. As the sampling interval tends to 0, our test statistic converges to 1 if there are jumps, and to another deterministic and known value (such as 2) if there are no jumps. The test is valid for all It\^{o} semimartingales, depends neither on the law of the process nor on the coefficients of the equation which it solves, does not require a preliminary estimation of these coefficients, and when there are jumps the test is applicable whether jumps have finite or infinite-activity and for an arbitrary Blumenthal--Getoor index. We finally implement the test on simulations and asset returns data.

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