TESTING FOR JUMPS IN A DISCRETELY OBSERVED PROCESS
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：
10.1214/07-AOS568
发表日期：
2009
页码：
184-222
关键词：
摘要：
We propose a new test to determine whether jumps are present in asset returns or other discretely sampled processes. As the sampling interval tends to 0, our test statistic converges to I if there are jumps, and to another deterministic and known value (such as 2) if there are no jumps. The test is valid 4 for all Ito semi martingales, depends neither on the law of the process nor on the coefficients of the equation which it solves, does not require a preliminary estimation of these coefficients, and when there are jumps the test is applicable whether jumps have finite or infinite-activity and for an arbitrary Blumenthal-Getoor index. We finally implement the test on simulations and asset returns data.