IS BROWNIAN MOTION NECESSARY TO MODEL HIGH-FREQUENCY DATA?

• 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; Universite Paris Cite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/09-AOS749
• 发表日期: 2010
• 页码: 3093-3128
• 关键词: STOCK RETURNS; jumps

摘要

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.