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

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

doi:10.1016/j.jeconom.2020.03.012

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

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

Econometrics & Business Statistics

Research output: Contribution to journal › Article › Research › peer-review

18 Citations (Scopus)

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 language	English
Pages (from-to)	478-487
Number of pages	10
Journal	Journal of Econometrics
Volume	219
Issue number	2
DOIs	https://doi.org/10.1016/j.jeconom.2020.03.012
Publication status	Published - Dec 2020

Keywords

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

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10.1016/j.jeconom.2020.03.012

Cite this

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title = "High-frequency jump tests: which test should we use?",

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.",

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KW - Microstructure noise

KW - Nonparametric jump measures

KW - Price jump tests

KW - Sampling frequency

KW - Volatility jumps

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

Abstract

Keywords

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The Validation of Approximate Bayesian Computation: Theory and Practice

Approximate Bayesian computation in state space models

Cite this

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

Abstract

Keywords

Access to Document

Other files and links

Projects

The Validation of Approximate Bayesian Computation: Theory and Practice

Approximate Bayesian computation in state space models

Cite this