Testing whether jumps have finite or infinite activity

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.

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)

References in corpus (2)

• Testing for jumps in a discretely observed process
• Estimating the degree of activity of jumps in high frequency data

Cited by in corpus (2)

• Nonparametric tests for pathwise properties of semimartingales
• Identifying the successive Blumenthal-Getoor indices of a discretely observed process