Davies, Robert; Tauchen, George Eugene - In: Econometrics : open access journal 6 (2018) 2, pp. 1-25
jumps over a grid of thresholds and selects the optimal threshold at what we term the ‘take-off’ point in the estimated … number of jumps. We show that this method consistently estimates the jumps and their indices as the sampling interval goes to … jumps and its ability to distinguish between true jumps and large diffusive moves. In one of these Monte Carlo studies we …
