Nonparametric tests for detecting breaks in the jump behaviour of a   time-continuous process
  This paper is concerned with tests for changes in the jump behaviour of a time-continuous process. Based on results on weak convergence of a sequential empirical tail integral process, asymptotics of certain tests statistics for breaks in the jump measure of an Ito semimartingale are constructed. Whenever limiting distributions depend in a complicated way on the unknown jump measure, empirical quantiles are obtained using a multiplier bootstrap scheme. An extensive simulation study shows a good performance of our tests in finite samples. 
Axel B\"ucher and Michael Hoffmann and Mathias Vetter and Holger Dette
stat.ME