Robust estimation and inference for jumps in noisy high frequency data: A Local-to-Continuity Theory for the pre-averaging method

Robust estimation and inference for jumps in noisy high frequency data: A Local-to-Continuity Theory for the pre-averaging method

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...

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Bibliographic Details
Main Author: LI, Jia
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2013
Subjects:
Confidence set
high frequency data
jump power variation
market microstructure noise
pre-averaging
semimartingale
unformity
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2580
https://ink.library.smu.edu.sg/context/soe_research/article/3579/viewcontent/Econometrica___2013___Li___Robust_Estimation_and_Inference_for_Jumps_in_Noisy_High_Frequency_Data__A_Local_to_Continuity.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2580
https://ink.library.smu.edu.sg/context/soe_research/article/3579/viewcontent/Econometrica___2013___Li___Robust_Estimation_and_Inference_for_Jumps_in_Noisy_High_Frequency_Data__A_Local_to_Continuity.pdf

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