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
Citation
AIT-SAHALIA, Yacine; JACOD, Jean; and LI, Jia.
Testing for jumps in noisy high frequency data. (2012). Journal of Econometrics. 168, (2), 207-222.
Available at: https://ink.library.smu.edu.sg/soe_research/2568
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.