TESTING WHETHER JUMPS HAVE FINITE OR INFINITE ACTIVITY

• 成果类型: Article
• 署名作者: Ait-Sahalia, Yacine; Jacod, Jean
• 署名单位: Princeton University; National Bureau of Economic Research; Sorbonne Universite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Paris Cite
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/11-AOS873
• 发表日期: 2011
• 页码: 1689-1719
• 关键词: STOCK RETURNS; diffusion; MARKETS; options; noise; MODEL

摘要

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.