Before revision: This paper provides an extensive evaluation of high frequency jump tests and measures, in the context of using such testsand measures in the estimation of dynamic models for asset price jumps. Specifically, we investigate: i) the power of alternative tests to detect individual price jumps, most notably in the presence of volatility jumps; ii) the frequency with which sequences of dynamic jumps are correctly identified; iii) the accuracy with which the magnitude and sign of a sequence of jumps, including small clusters of consecutive jumps, are estimated; and iv) the robustness of inference about dynamic jumps to test and measure design.
After revision: This paper provides an extensive evaluation of price jump tests based on high-frequency financial data. After providing a concise review of multiple alternative tests, we document the size and power of all tests in a range of empirically relevant scenarios. Particular focus is given to the robustness of inference about dynamic jumps to test and measure design.