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英文文献：Jump Testing and the Speed of Market Adjustment-跳跃测试和市场调整的速度
英文文献作者：Torben B. Rasmussen
英文文献摘要：
Asymptotic properties of jump tests rely on the property that any jump occurs within a single time interval no matter what the observation frequency is. Market microstructure effects in relation to news-induced revaluation of the underlying variable is likely to make this an unrealistic assumption for high-frequency transaction data. To capture these microstructure effects, this paper suggests a model in which market prices adjust gradually to jumps in the underlying effcient price. A case study illustrates the empirical relevance of the model, and the performance of different jump tests is investigated here and in a simulation study. Evidence indicates that tests based on the largest of scaled price increments perform better than tests comparing measures of variability. Resolving the matter by testing at lower frequencies turns out to be less straightforward.
跳跃检验的渐近性质依赖于任何跳跃发生在单一时间间隔内的性质，无论观察频率是多少。新闻引发的潜在变量重估的市场微观结构效应，可能使高频交易数据的这一假设不现实。为了捕捉这些微观结构效应，本文提出了一个模型，在该模型中，市场价格逐渐调整，从而使潜在有效价格跳升。通过实例分析说明了模型的经验关联性，并对不同跳跃试验的性能进行了研究和仿真研究。证据表明，基于最大比例价格增量的测试比比较可变度量的测试效果更好。通过低频率测试来解决这个问题就不那么简单了。
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