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April 2012 Modeling high-frequency financial data by pure jump processes
Bing-Yi Jing, Xin-Bing Kong, Zhi Liu
Ann. Statist. 40(2): 759-784 (April 2012). DOI: 10.1214/12-AOS977


It is generally accepted that the asset price processes contain jumps. In fact, pure jump models have been widely used to model asset prices and/or stochastic volatilities. The question is: is there any statistical evidence from the high-frequency financial data to support using pure jump models alone? The purpose of this paper is to develop such a statistical test against the necessity of a diffusion component. The test is very simple to use and yet effective. Asymptotic properties of the proposed test statistic will be studied. Simulation studies and some real-life examples are included to illustrate our results.


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Bing-Yi Jing. Xin-Bing Kong. Zhi Liu. "Modeling high-frequency financial data by pure jump processes." Ann. Statist. 40 (2) 759 - 784, April 2012.


Published: April 2012
First available in Project Euclid: 17 May 2012

zbMATH: 1273.62195
MathSciNet: MR2933665
Digital Object Identifier: 10.1214/12-AOS977

Primary: 62G20 , 62M05
Secondary: 60G20 , 60J75

Keywords: diffusion , high-frequency data , Hypothesis testing , pure jump process , semi-martingales

Rights: Copyright © 2012 Institute of Mathematical Statistics


Vol.40 • No. 2 • April 2012
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