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arXiv · 1211.5219

Testing whether jumps have finite or infinite activity

Yacine Aït-Sahalia·Jean Jacod
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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.

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Yacine Aït-Sahalia, Jean Jacod. 2012-11-22. Testing whether jumps have finite or infinite activity. https://doi.org/10.1214/11-aos873

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