Li, Yifan; Nolte, Ingmar; Nolte (Lechner), Sandra; Yu, … - 2021
We propose a new nonparametric test to determine whether finite-activity jumps are present in a discretely observed price process. For a univariate Itô semimartingale, we introduce the concept of censored increments for observations recursively sampled at exit times with respect to a symmetric...