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 bootstrap test has more stable size than the ratio test of Barndorff-Nielsen and Shephard (2006).
Bibliographical noteFunding Information:
The authors are very grateful for the valuable comments of a referee which improved the paper considerably. This study was supported by the Basic Research Program ( 2012-001361 ) and Science Research Center program ( 2011-0030811 ) through the National Research Foundation of Korea (NRF) funded by the Korea government (MSIP).
- Jump diffusion process
- Ratio test
- Realized bipower variation
- Realized variation