Hoffmann, Michael2018-03-022018-03-022018http://hdl.handle.net/2003/3678610.17877/DE290R-18787This paper introduces test and estimation procedures for abrupt and gradual changes in the entire jump behaviour of a discretely observed Ito semimartingale. In contrast to existing work we analyse jumps of arbitrary size which are not restricted to a minimum height. Our methods are based on weak convergence of a truncated sequential empirical distribution function of the jump characteristic of the underlying Ito semimartingale. Critical values for the new tests are obtained by a multiplier bootstrap approach and we investigate the performance of the tests also under local alternatives. An extensive simulation study shows the finite-sample properties of the new procedures.enDiscussion Paper / SFB823;4/2018Lévy measuregradual changeschange pointsmultiplier bootstrapweak convergenceempirical processestransition kerneljump compensator310330620working paper