Lee, Suzanne S.; Mykland, Per A. - In: Review of Financial Studies 21 (2008) 6, pp. 2535-2563
This article introduces a new nonparametric test to detect jump arrival times and realized jump sizes in asset prices up to the intra-day level. We demonstrate that the likelihood of misclassification of jumps becomes negligible when we use high-frequency returns. Using our test, we examine jump...