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• W2125472587 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." @default.
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• W2125472587 date "2012-06-01" @default.
• W2125472587 modified "2023-10-17" @default.
• W2125472587 title "Testing for jumps in noisy high frequency data" @default.
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• W2125472587 doi "https://doi.org/10.1016/j.jeconom.2011.12.004" @default.
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