Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process Article Swipe

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Axel Bücher , Michael Hoffmann , Mathias Vetter , Holger Dette ·

YOU? · · 2017 · Open Access · · DOI: https://doi.org/10.3150/15-bej780 · OA: W2150387476

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.