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TESTING WHETHER JUMPS HAVE FINITE OR INFINITE ACTIVITY
TESTING WHETHER JUMPS HAVE FINITE INFINITE ACTIVITY
2014/3/13
We propose statistical tests to discriminate between the finite and infinite activity of jumps in a semimartingale discretely observed at high frequency. The two statistics allow for a symmetric treat...
Testing for jumps in noisy high frequency data
Semimartingale Testing for jumps High frequency data Market microstructure noise Pre-averaging
2014/3/13
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 met...