How Successful Are Wavelets in Detecting Jumps?

We evaluate the performances of wavelet jump detection tests by using simulated high-frequency data, in which jumps and some other non-standard features are present. Wavelet-based jump detection tests have a clear advantage over the alternatives, as they are capable of stating the exact timing and number of jumps. The results indicate that, in addition to those advantages, these detection tests also preserve desirable power and size properties even in non-standard data environments, whereas their alternatives fail to sustain their desirable properties beyond standard data features.