Modeling high-frequency financial data by pure jump processes
Abstract
It is generally accepted that the asset price processes contain jumps. In fact, pure jump models have been widely used to model asset prices and/or stochastic volatilities. The question is: is there any statistical evidence from the high-frequency financial data to support using pure jump models alone? The purpose of this paper is to develop such a statistical test against the necessity of a diffusion component. The test is very simple to use and yet effective. Asymptotic properties of the proposed test statistic will be studied. Simulation studies and some real-life examples are included to illustrate our results.
Keywords
Cite
@article{arxiv.1206.0827,
title = {Modeling high-frequency financial data by pure jump processes},
author = {Bing-Yi Jing and Xin-Bing Kong and Zhi Liu},
journal= {arXiv preprint arXiv:1206.0827},
year = {2012}
}
Comments
Published in at http://dx.doi.org/10.1214/12-AOS977 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)