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This is the preliminary program for the 2007 Joint Statistical Meetings in Salt Lake City, Utah.

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Activity Number: 485
Type: Invited
Date/Time: Thursday, August 2, 2007 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract - #307917
Title: Do Jumps Matter?
Author(s): Lan Zhang*+
Companies: University of Illinois at Chicago
Address: , , 60607,
Keywords: high frequency data ; jump
Abstract:

The detection of jumps is a major focus of current work on high-frequency financial data. The present paper argues that the distinction between jumps and continuity may only be moderately useful. It is, both practically and theoretically, better to consider small jumps as part of the continuous component of the process, and only to separate out the big jumps. A mathematical construction is given, and estimation methods are discussed for the case when there is no microstructure noise.

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Revised September, 2007