Testing for common arrivals of jumps for discretely observed multidimensional processes

Jean Jacod, Viktor Todorov

We consider a bivariate process $X_t=(X_t^1,X_t^2)$, which is observed on a finite time interval $[0,T]$ at discrete times $0,{\Delta }_n,2{\Delta }_n,....$ Assuming that its two components $X^1$…