Testing for jumps in noisy high frequency data
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 discriminatin...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2012
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2568 https://ink.library.smu.edu.sg/context/soe_research/article/3567/viewcontent/Testing_for_jumps.pdf |
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| Institution: | Singapore Management University |
| Language: | English |