High-frequency jump tests: which test should we use?

Worapree Maneesoonthorn, Gael M. Martin, Catherine S. Forbes

Research output: Contribution to journalArticleResearchpeer-review

Abstract

We conduct an extensive evaluation of price jump tests based on high-frequency financial data. After providing a concise review of multiple alternative tests, we document the size and power of all tests in a range of empirically relevant scenarios. Particular focus is given to the robustness of test performance to the presence of jumps in volatility and microstructure noise, and to the impact of sampling frequency. The paper concludes by providing guidelines for empirical researchers about which test to choose in any given setting.

Original languageEnglish
Number of pages10
JournalJournal of Econometrics
DOIs
Publication statusAccepted/In press - 2020

Keywords

  • Bivariate jump diffusion model
  • Microstructure noise
  • Nonparametric jump measures
  • Price jump tests
  • Sampling frequency
  • Volatility jumps

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