Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

In this article we provide an asymptotic distribution theoryfor some nonparametric tests of the hypothesis that asset priceshave continuous sample paths. We study the behaviour of thetests using simulated data and see that certain versions ofthe tests have good finite sample behavior. We also apply thetests to exchange rate data and show that the null of a continuoussample path is frequently rejected. Most of the jumps the statisticsidentify are associated with governmental macroeconomic announcements.