Bücher, AxelHoffmann, MichaelVetter, MathiasDette, Holger2014-12-172014-12-172014http://hdl.handle.net/2003/3379710.17877/DE290R-6597This 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.enDiscussion Paper / SFB 823;41/2014change pointsweak convergencesequential empirical processesmultiplier bootstrapLevy measure310330620working paper