Testing for jumps in noisy high frequency data

被引：81

作者：

Ait-Sahalia, Yacine ^{[1
,2
]}

Jacod, Jean ^{[3
]}

Li, Jia ^{[1
]}

机构：

[1] Princeton Univ, Dept Econ, Bendheim Ctr Finance, Princeton, NJ 08544 USA

[2] NBER, Princeton, NJ 08544 USA

[3] Univ Paris 06, CNRS, UMR 7586, Inst Math, F-75013 Paris, France

来源：

JOURNAL OF ECONOMETRICS | 2012年 / 168卷 / 02期

基金：

美国国家科学基金会;

关键词：

Semimartingale; Testing for jumps; High frequency data; Market microstructure noise; Pre-averaging; MICROSTRUCTURE NOISE; VOLATILITY; DIFFUSION; PRICES; ROBUST;

D O I：

10.1016/j.jeconom.2011.12.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes a robustification of the test statistic of Ait-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. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：207 / 222

页数：16

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