Testing for jumps in noisy high frequency data
AbstractThis paper proposes a robustification of the test statistic of Aït-Sahalia and Jacod (2009b) for the presence of market microstructure noise in high frequency data, based on the pre-averaging method of Jacod et al. (2010). We show that the robustified statistic restores the test’s discriminating power between jumps and no jumps despite the presence of market microstructure noise in the data.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 168 (2012)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/jeconom
Semimartingale; Testing for jumps; High frequency data; Market microstructure noise; Pre-averaging;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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