Testing whether jumps have finite or infinite activity

Research output: Contribution to journalArticlepeer-review

52 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)1689-1719
Number of pages31
JournalAnnals of Statistics
Volume39
Issue number3
DOIs
StatePublished - Jun 2011

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Keywords

  • Brownian motion
  • Discrete sampling
  • Finite activity
  • High frequency
  • Infinite activity
  • Jumps
  • Semimartingale

Fingerprint Dive into the research topics of 'Testing whether jumps have finite or infinite activity'. Together they form a unique fingerprint.

Cite this