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...
Saved in:
| Main Author: | |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2013
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |