High-Frequency Jump Tests: Which Test Should We Use?
Worapree Maneesoonthorn, Gale M Martin, Catherine S FORBES
Journal of Econometrics | Elsevier | Published : 2020
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.
Awarded by Australian Research Council
This research has been supported by Australian Research Council Discovery Grants No. DP150101728 and DP170100729. We thank a co-editor, an associate editor and two anonymous referees for very helpful and constructive comments on earlier drafts of the paper. We are also grateful to John Maheu, Herman van Dijk, Maria Kalli and Jim Griffin, plus participants at the 11th Annual RCEA Bayesian Econometric Workshop (Melbourne, 2017), for very helpful comments on an earlier version of the paper.