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This paper introduces test and estimation procedures for abrupt and gradualchanges in the entire jump behaviour of a discretely observed Itosemimartingale. In contrast to existing work we analyse jumps of arbitrary sizewhich are not restricted to a minimum height. Our methods are based on weakconvergence of a truncated sequential empirical distribution function of thejump characteristic of the underlying Ito semimartingale. Critical values forthe new tests are obtained by a multiplier bootstrap approach and weinvestigate the performance of the tests also under local alternatives. Anextensive simulation study shows the finite-sample properties of the newprocedures.

On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process