Testing and detecting jumps based on a discretely observed process

@inproceedings{Fan2011TestingAD,
  title={Testing and detecting jumps based on a discretely observed process},
  author={Yingying Fan and Jianqing Fan},
  year={2011}
}
We propose a new nonparametric test for detecting the presence of jumps in asset prices using discretely observed data. Compared with the test in Aït-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… CONTINUE READING

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