English

Testing for jumps in a discretely observed process

Statistics Theory 2009-03-03 v1 Statistics Theory

Abstract

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.

Keywords

Cite

@article{arxiv.0903.0226,
  title  = {Testing for jumps in a discretely observed process},
  author = {Yacine Aït-Sahalia and Jean Jacod},
  journal= {arXiv preprint arXiv:0903.0226},
  year   = {2009}
}

Comments

Published in at http://dx.doi.org/10.1214/07-AOS568 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)

R2 v1 2026-06-21T12:17:11.773Z