Year: 2010
Type: article
Abstract: This paper considers the problem of testing for the presence of a continuous part in a semimartingale sampled at high frequency. We provide two tests, one where the null hypothesis is that a continuous component is present, the other where the continuous component is absent, and the model is then driven by a pure jump process. When applied to high-frequency individual stock data, both tests point toward the need to include a continuous component in the model.
Source: The Annals of Statistics
Authors: Yacine Aït-Sahalia, Jean Jacod
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
Funder: National Science Foundation
OpenAlex ID: W1994787752