Testing for jumps in noisy high frequency data

Yacine Aït-Sahalia, Jean Jacod, Jia Li

Research output: Contribution to journalArticlepeer-review

52 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)207-222
Number of pages16
JournalJournal of Econometrics
Volume168
Issue number2
DOIs
StatePublished - Jun 1 2012

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Keywords

  • High frequency data
  • Market microstructure noise
  • Pre-averaging
  • Semimartingale
  • Testing for jumps

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