Journal article

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

Worapree Maneesoonthorn, Gale M Martin, Catherine S FORBES

Journal of Econometrics | Elsevier | Published : 2020

Abstract

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.

University of Melbourne Researchers

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