Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096595 | Journal of Econometrics | 2012 | 16 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yacine Aït-Sahalia, Jean Jacod, Jia Li,