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RANDOMIZED TESTING FOR JUMP DETECTION

Yucheng Sun

Econometric Theory2026https://doi.org/10.1017/s0266466626100425article
AJG 4ABDC A*
Weight
0.50

Abstract

This article proposes sequential randomized tests to locate the presence of jumps on the paths of efficient asset prices in a continuous-time model. The randomized statistics are generated by artificially adding randomness to the robust approximations of the locally averaged returns of the efficient price. In the case of finite activity jumps, we derive the asymptotic distribution of the maximum of all the local statistics unaffected by jumps, which makes it feasible to control the limiting probability of the global type I error and demonstrate the power of the test. We also present the theoretical results to illustrate the behaviors of the test statistics in the presence of infinite activity jumps. Simulation studies indicate the favorable performance of the proposed test in finite samples, and we also apply the test to the stock price data of Apple and Microsoft.

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https://doi.org/https://doi.org/10.1017/s0266466626100425

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@article{yucheng2026,
  title        = {{RANDOMIZED TESTING FOR JUMP DETECTION}},
  author       = {Yucheng Sun},
  journal      = {Econometric Theory},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1017/s0266466626100425},
}

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.