Publication Type

Journal Article

Version

publishedVersion

Publication Date

7-2013

Abstract

We develop an asymptotic theory for the pre-averaging estimator when asset price jumps are weakly identified, here modeled as local to zero. The theory unifies the conventional asymptotic theory for continuous and discontinuous semimartingales as two polar cases with a continuum of local asymptotics, and explains the breakdown of the conventional procedures under weak identification. We propose simple bias-corrected estimators for jump power variations, and construct robust confidence sets with valid asymptotic size in a uniform sense. The method is also robust to certain forms of microstructure noise.

Keywords

Confidence set, high frequency data, jump power variation, market microstructure noise, pre-averaging, semimartingale, unformity

Discipline

Econometrics

Research Areas

Econometrics

Publication

Econometrica

Volume

81

Issue

3

First Page

1673

Last Page

1693

ISSN

0012-9682

Identifier

10.3982/ECTA10534

Publisher

Econometric Society

Copyright Owner and License

Publisher

Additional URL

https://doi.org/10.3982/ECTA10534

Included in

Econometrics Commons

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