Testing for jumps in noisy high frequency data

Yacine Ait-Sahalia, Jean Jacod and Jia Li

Journal of Econometrics, 2012, vol. 168, issue 2, 207-222

Abstract: 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.

Keywords: Semimartingale; Testing for jumps; High frequency data; Market microstructure noise; Pre-averaging (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (63)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:168:y:2012:i:2:p:207-222

DOI: 10.1016/j.jeconom.2011.12.004

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