- Volume 23, Number 2 (2017), 1335-1364.
Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process
This paper is concerned with tests for changes in the jump behaviour of a time-continuous process. Based on results on weak convergence of a sequential empirical tail integral process, asymptotics of certain test statistics for breaks in the jump measure of an Itô semimartingale are constructed. Whenever limiting distributions depend in a complicated way on the unknown jump measure, empirical quantiles are obtained using a multiplier bootstrap scheme. An extensive simulation study shows a good performance of our tests in finite samples.
Bernoulli, Volume 23, Number 2 (2017), 1335-1364.
Received: December 2014
Revised: September 2015
First available in Project Euclid: 4 February 2017
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Bücher, Axel; Hoffmann, Michael; Vetter, Mathias; Dette, Holger. Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process. Bernoulli 23 (2017), no. 2, 1335--1364. doi:10.3150/15-BEJ780. https://projecteuclid.org/euclid.bj/1486177401