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.
"Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process." Bernoulli 23 (2) 1335 - 1364, May 2017. https://doi.org/10.3150/15-BEJ780