Kavli Affiliate: Feng Long| Summary: We develop an adaptive jump test for discretely observed high-frequency semimartingales by combining the A"it-Sahalia–Jacod ratio statistic (A"it-Sahalia and Jacod, 2009) and the Lee–Mykland extreme-return statistic (Lee and Mykland, 2008) with the Cauchy combination rule. Allowing stochastic It^o drift, volatility, and leverage, we show asymptotic independence under the continuous-path null […]
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