New tests for jumps: a threshold-based approach-对跳转的新测试:基于阈值的方法

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英文文献：New tests for jumps: a threshold-based approach-对跳转的新测试:基于阈值的方法
英文文献作者：Mark Podolskij,Daniel Ziggel
英文文献摘要：
In this paper we propose a test to determine whether jumps are present in a discretely sampled process or not. We use the concept of truncated power variation to construct our test statistics for (i) semimartingale models and (ii) semimartingale models with noise. The test statistics converge to infinity if jumps are present and have a normal distribution otherwise. Our method is valid (under very weak assumptions) for all semimartingales with absolute continuous characteristics and rather general model for the noise process. We finally implement the test and present the simulation results. Our simulations suggest that for semimartingale models the new test is much more powerful then tests proposed by Barndorff-Nielsen and Shephard (2006) and A?t-Sahalia and Jacod (2008).

本文提出了一种判别离散采样过程中是否存在跳跃的测试方法。我们使用截断幂变的概念来构造我们的测试统计量(i)半artingale模型和(ii)带有噪声的半artingale模型。如果存在跳跃，则检验统计量收敛于无穷大;反之则服从正态分布。我们的方法(在非常弱的假设下)对所有具有绝对连续特性的半鞅和噪声过程的一般模型都是有效的。最后实现了测试并给出了仿真结果。我们的模拟表明，对于半马艺术模型，新的测试比Barndorff-Nielsen和Shephard(2006)和Ait-Sahalia和Jacod(2008)提出的测试更强大。

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