Change-point inference on volatility in noisy Itô semimartingales

Markus Bibinger and Mehmet Madensoy

Stochastic Processes and their Applications, 2019, vol. 129, issue 12, 4878-4925

Abstract: This work is concerned with tests on structural breaks in the spot volatility process of a general Itô semimartingale based on discrete observations contaminated with i.i.d.microstructure noise. We construct a consistent test building up on infill asymptotic results for certain functionals of spectral spot volatility estimates. A weak limit theorem is established under the null hypothesis relying on extreme value theory. We prove consistency of the test and of an associated estimator for the change point. A simulation study illustrates the finite-sample performance of the method and efficiency gains compared to a skip-sampling approach.

Keywords: Change-point analysis; High-frequency data; Market microstructure; Volatility estimation; Volatility jump (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:129:y:2019:i:12:p:4878-4925

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DOI: 10.1016/j.spa.2018.12.013

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