Testing for jumps in noisy high frequency data

• 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
• Institution: Singapore Management University

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...