Testing for jumps in processes with integral fractional part and jump-robust inference on the Hurst exponent
含积分分数成分过程的跳跃检验与 Hurst 指数的跳跃稳健推断
We develop and investigate a test for jumps based on high-frequency observations of a fractional process with an additive jump component. The Hurst exponent of the fractional process is unknown. The asymptotic theory under infill asymptotics builds upon extreme value theory for weakly dependent, stationary time series and extends techniques for the semimartingale case from the literature. It is shown that the statistic on which the test is based on weakly converges to a…