Testing whether jumps have finite or infinite activity
Statistics Theory
2012-11-26 v1 Statistics Theory
Abstract
We propose statistical tests to discriminate between the finite and infinite activity of jumps in a semimartingale discretely observed at high frequency. The two statistics allow for a symmetric treatment of the problem: we can either take the null hypothesis to be finite activity, or infinite activity. When implemented on high-frequency stock returns, both tests point toward the presence of infinite-activity jumps in the data.
Keywords
Cite
@article{arxiv.1211.5219,
title = {Testing whether jumps have finite or infinite activity},
author = {Yacine Aït-Sahalia and Jean Jacod},
journal= {arXiv preprint arXiv:1211.5219},
year = {2012}
}
Comments
Published in at http://dx.doi.org/10.1214/11-AOS873 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)