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:	AIT-SAHALIA, Yacine, JACOD, Jean, LI, Jia
Format:	text
Language:	English
Published:	Institutional Knowledge at Singapore Management University 2012
Subjects:	High-frequency data; Market microstructure noise; Pre-averaging; Semimartingale; Testing for jumps Economic Theory
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

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spelling	sg-smu-ink.soe_research-35672022-02-07T04:01:56Z Testing for jumps in noisy high frequency data AIT-SAHALIA, Yacine JACOD, Jean LI, Jia 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. 2012-06-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/2568 info:doi/10.1016/j.jeconom.2011.12.004 https://ink.library.smu.edu.sg/context/soe_research/article/3567/viewcontent/Testing_for_jumps.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University High-frequency data; Market microstructure noise; Pre-averaging; Semimartingale; Testing for jumps Economic Theory
institution	Singapore Management University
building	SMU Libraries
continent	Asia
country	Singapore Singapore
content_provider	SMU Libraries
collection	InK@SMU
language	English
topic	High-frequency data; Market microstructure noise; Pre-averaging; Semimartingale; Testing for jumps Economic Theory
spellingShingle	High-frequency data; Market microstructure noise; Pre-averaging; Semimartingale; Testing for jumps Economic Theory AIT-SAHALIA, Yacine JACOD, Jean LI, Jia Testing for jumps in noisy high frequency data
description	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.
format	text
author	AIT-SAHALIA, Yacine JACOD, Jean LI, Jia
author_facet	AIT-SAHALIA, Yacine JACOD, Jean LI, Jia
author_sort	AIT-SAHALIA, Yacine
title	Testing for jumps in noisy high frequency data
title_short	Testing for jumps in noisy high frequency data
title_full	Testing for jumps in noisy high frequency data
title_fullStr	Testing for jumps in noisy high frequency data
title_full_unstemmed	Testing for jumps in noisy high frequency data
title_sort	testing for jumps in noisy high frequency data
publisher	Institutional Knowledge at Singapore Management University
publishDate	2012
url	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
_version_	1770576093489659904

Testing for jumps in noisy high frequency data

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