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High-Frequency Jump Tests: Which Test Should We Use?

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journal contribution
posted on 2022-11-10, 01:44 authored by Worapree Maneesoonthorn, Gael M. Martin, Catherine S. Forbes
We conduct an extensive evaluation of price jump tests based on high-frequency financial data. After providing a concise review of multiple alternative tests, we document the size and power of all tests in a range of empirically relevant scenarios. Particular focus is given to the robustness of test performance to the presence of jumps in volatility and microstructure noise, and to the impact of sampling frequency. The paper concludes by providing guidelines for empirical researchers about which test to choose in any given setting.

History

Classification-JEL

C12, C22, C58

Creation date

2019-12-12

Working Paper Series Number

3/20

Length

17

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2020-3