Fixed and long time span jump tests: New Monte Carlo and empirical evidence

Artikel

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from 'long time span tests' that detect jumps by examining the magnitude of the jump intensity parameter in the data generating process, and which are consistent. In this paper, long span jump tests are compared and contrasted with a variety of fixed span jump tests in a series of Monte Carlo experiments. It is found that both the long time span tests of Corradi et al. (2018) and the fixed span tests of Äit-Sahalia and Jacod (2009) exhibit reasonably good finite sample properties, for time spans both short and long. Various other tests suffer from finite sample distortions, both under sequential testing and under long time spans. The latter finding is new, and confirms the 'pitfall' discussed in Huang and Tauchen (2005), of using asymptotic approximations associated with finite time span tests in order to study long time spans of data. An empirical analysis is carried out to investigate the implications of these findings, and 'time-span robust' tests indicate that the prevalence of jumps is not as universal as might be expected.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 7 ; Year: 2019 ; Issue: 1 ; Pages: 1-32 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Hypothesis Testing: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Model Evaluation, Validation, and Selection ; Financial Econometrics
• Subject: jump test ; jump intensity ; sequential testing bias ; fixed time span ; long time span ; high-frequency data

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Cheng, Mingmian ; Swanson, Norman R.
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2019

Further information

• DOI: doi:10.3390/econometrics7010013
• Handle: http://hdl.handle.net/10419/247513
• Last update: 10.03.2025, 11:43 AM CET