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Paper detail

Testing whether jumps have finite or infinite activity

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.

preprint2012arXivOpen access
Yacine Aït-SahaliaJean Jacod
math.STStatistics Theory
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Yacine Aït-SahaliaJean Jacod

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