Publications [#238519] of Jia Li

Journal Articles

1. Aït-Sahalia, Y; Jacod, J; Li, J, Testing for jumps in noisy high frequency data, Journal of Econometrics, vol. 168 no. 2 (June, 2012), pp. 207-222, Elsevier BV, ISSN 0304-4076 [doi]
   (last updated on 2021/07/07)

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