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 language | English (US) |
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Pages (from-to) | 1689-1719 |
Number of pages | 31 |
Journal | Annals of Statistics |
Volume | 39 |
Issue number | 3 |
DOIs | |
State | Published - 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