Testing whether jumps have finite or infinite activity

By Yacine Aït-Sahalia, Jean Jacod. 2011

100 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4e88191172f7d005bddc6d218c71ffa24a07c2b3

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In Economics and Econometrics

In Finance

Citations in the corpus

Nonparametric tests for pathwise properties of semimartingales (2011, background): “19) in [4], Lemma 5, with β there being α here, un = √ rh = h , p= 4, vh = h φ for a proper exponent φ we specify below and β′ = 0.”
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2010, background): “This result, shown in Aït-Sahalia and Jacod (2011) when p > 1, is a generalization to the case of general p of known results for the quadratic variation (p = 2) which form the basis for the robustified estimators listed in footnote 1.”
Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (2011, background): “whether there are jumps or not in the process, whether there are finitely or infinitely many, or what in general their degree of activity is (see foremost [1]–[3], but also [7] or [26]).”