Testing for jumps in noisy high frequency data


Journal Article

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. © 2012 Elsevier B.V. All rights reserved.

Full Text

Duke Authors

Cited Authors

  • Aït-Sahalia, Y; Jacod, J; Li, J

Published Date

  • June 1, 2012

Published In

Volume / Issue

  • 168 / 2

Start / End Page

  • 207 - 222

International Standard Serial Number (ISSN)

  • 0304-4076

Digital Object Identifier (DOI)

  • 10.1016/j.jeconom.2011.12.004

Citation Source

  • Scopus