Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process
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Date
2014
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Abstract
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 tests statistics for
breaks in the jump measure of an Ito 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.
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Keywords
change points, weak convergence, sequential empirical processes, multiplier bootstrap, Levy measure