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Testing for jumps in noisy high frequency data
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DOI：10.1016/j.jeconom.2011.12.004.png)
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Abstract
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This paper proposes a robustification of the test statistic of Ait-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. (C) 2012 Elsevier B.V. All rights reserved.
Keywords:
Semimartingale
Testing for jumps
High frequency data
Market microstructure noise
Pre-averaging
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