Testing and detecting jumps based on a discretely observed process

Yingying Fan Jianqing Fan

Statistics Theory and Methods mathscidoc:1912.43347

Journal of Econometrics, 164, (2), 331-344, 2011.10
We propose a new nonparametric test for detecting the presence of jumps in asset prices using discretely observed data. Compared with the test in At-Sahalia and Jacod (2009), our new test enjoys the same asymptotic properties but has smaller variance. These results are justified both theoretically and numerically. We also propose a new procedure to locate the jumps. The jump identification problem reduces to a multiple comparison problem. We employ the false discovery rate approach to control the probability of type I error. Numerical studies further demonstrate the power of our new method.
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  title={Testing and detecting jumps based on a discretely observed process},
  author={Yingying Fan, and Jianqing Fan},
  booktitle={Journal of Econometrics},
Yingying Fan, and Jianqing Fan. Testing and detecting jumps based on a discretely observed process. 2011. Vol. 164. In Journal of Econometrics. pp.331-344. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221113845934983907.
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