Testing for jumps in noisy high frequency data

Yacine Aït-Sahalia; Jean Jacod; Jia Li

doi:10.1016/j.jeconom.2011.12.004

Testing for jumps in noisy high frequency data

Yacine Aït-Sahalia, Jean Jacod, Jia Li

Research output: Contribution to journal › Article › peer-review

62 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 language	English (US)
Pages (from-to)	207-222
Number of pages	16
Journal	Journal of Econometrics
Volume	168
Issue number	2
DOIs	https://doi.org/10.1016/j.jeconom.2011.12.004
State	Published - Jun 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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10.1016/j.jeconom.2011.12.004

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title = "Testing for jumps in noisy high frequency data",

abstract = "This paper proposes a robustification of the test statistic of A{\"i}t-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 = "High frequency data, Market microstructure noise, Pre-averaging, Semimartingale, Testing for jumps",

author = "Yacine A{\"i}t-Sahalia and Jean Jacod and Jia Li",

note = "Funding Information: Financial support from the NSF under grant SES-0850533 is gratefully acknowledged. We are also grateful to the Editor, Associate Editor and two referees for comments and suggestions. ",

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T1 - Testing for jumps in noisy high frequency data

AU - Aït-Sahalia, Yacine

AU - Jacod, Jean

AU - Li, Jia

N1 - Funding Information: Financial support from the NSF under grant SES-0850533 is gratefully acknowledged. We are also grateful to the Editor, Associate Editor and two referees for comments and suggestions.

PY - 2012/6

Y1 - 2012/6

N2 - 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.

AB - 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.

KW - High frequency data

KW - Market microstructure noise

KW - Pre-averaging

KW - Semimartingale

KW - Testing for jumps

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SP - 207

EP - 222

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 2

ER -

Testing for jumps in noisy high frequency data

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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