Publication Type

Journal Article

Version

publishedVersion

Publication Date

6-2012

Abstract

This 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.

Keywords

High-frequency data; Market microstructure noise; Pre-averaging; Semimartingale; Testing for jumps

Discipline

Economic Theory

Research Areas

Macroeconomics; Economic Theory

Publication

Journal of Econometrics

Volume

168

Issue

2

First Page

207

Last Page

222

ISSN

0304-4076

Identifier

10.1016/j.jeconom.2011.12.004

Publisher

Elsevier: 24 months

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