Hwang, Eunju; Shin, Dong Wan - In: Economics Letters 125 (2014) 1, pp. 74-78
An i.i.d. bootstrap is applied for the ratio test of Barndorff-Nielsen and Shephard (2006) for jumps in jump diffusion processes. Asymptotic validity is established for the bootstrap test both under the null of no jump and under the alternative of jumps. Finite sample simulation shows that the...