Identification of Jumps in Financial Time Series

16 Pages Posted: 25 May 2011

See all articles by Jörgen Hellström

Jörgen Hellström

Umeå University - Umeå School of Business and Economics

Carl Lönnbark

University of Umea; Swedbank

Date Written: May 19, 2011


The paper outlines and tests, by means of Monte-Carlo simulations, a simple strategy of using existing non-parametric tests for jumps at the daily frequency to identify jumps at higher sampling frequencies. The suggested strategy allow for identification of the number of jumps and jump times during a day, as well as, the size and direction (negative or positive) of the jumps. The method is of importance in order to facilitate detailed empirical studies concerning, for example, causes for jumps in financial price series at finer levels than the daily. The Monte Carlo study reveals that the strategy works reasonably well, particular for lower jump intensities. An application of the studied strategy on the Handelsbanken stock is provided.

Keywords: Financial econometrics, jumps, realized variance, bipower variation, stock price

JEL Classification: C14, C15, G12

Suggested Citation

Hellström, Jörgen and Lönnbark, Carl, Identification of Jumps in Financial Time Series (May 19, 2011). Available at SSRN: or

Jörgen Hellström (Contact Author)

Umeå University - Umeå School of Business and Economics ( email )

Umea, 90187
+46-90-7866987 (Phone)


Carl Lönnbark

University of Umea ( email )

Samhallsvetarhuset, Plan 2
Umea University
Umeå, SE 901 87

Swedbank ( email )

SE-105 34 Stockholm

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