This paper considers the problem of testing for the presence of a continuous part in a semimartingale sampled at high frequency. We provide two tests, one where the null hypothesis is that a continuous component is present, the other where the continuous component is absent, and the model is then driven by a pure jump process. When applied to high-frequency individual stock data, both tests point toward the need to include a continuous component in the model.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Brownian motion
- Discrete sampling
- Finite activity
- High frequency.
- Infinite activity