Jumps in Real-Time Financial Markets: A New Nonparametric Test and Jump Dynamics

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Abstract
This paper introduces a new nonparametric jump test for continuous-time asset pricing models. It distinguishes jump arrival times and realized jump sizes in asset prices as precisely as at intra-day levels. We demonstrate the likelihood of misclassification of jumps in discrete data becomes negligible when we use high-frequency returns. We explore real-time jump dynamics using intra-day U.S. individual equity prices through the test, and find empirical evidence that jump arrivals are associated with both pre-scheduled earnings announcements and unscheduled real-time news release.

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