Testing for jumps in noisy high frequency data |
| |
| Authors: | Yacine Aï t-Sahalia,Jean Jacod,Jia Li |
| |
| Affiliation: | 1. Department of Economics, Bendheim Center for Finance, Princeton University, Princeton, NJ 08544-1021, United States;2. NBER, Princeton, NJ 08544-1021, United States;3. Institut de Mathématiques, de Jussieu, CNRS–UMR 7586, Université Pierre et Marie Curie, Paris 6, 75 013 Paris, France |
| |
| 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: | C22 |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
