Bollerslev, Tim; Andersen, Torben G.; Dobrev, Dobrislav - National Bureau of Economic Research (NBER) - 2007
We develop a sequential procedure to test the adequacy of jump-diffusion models for return distributions. We rely on intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional moment tests, for assessing the import of jumps and...