Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests
金融资产跳跃识别:非参数跳跃检验的比较
We perform a comprehensive Monte Carlo comparison between nine alternative procedures available in the literature to detect jumps in financial assets using high-frequency data. We evaluate size and power properties of the procedures under alternative sampling frequencies, persistence in volatility, jump size and intensity, and degree of contamination with microstructure noise. The overall best performance is shown by the Andersen, Bollerslev, and Dobrev (2007 Andersen, T.…