This paper is a revised version of part of my Ph.D. dissertation at the Department of Economics, Princeton University. I am very grateful to my advisors Yacine Aït-Sahalia, Ulrich Müller, and Mark Watson, as well as Jean Jacod, for their guidance. I am also grateful for comments from Tim Bollerslev, Valentina Corradi, Nour Meddahi, Andrew Patton, George Tauchen, and Viktor Todorov on various versions of this paper. Comments from three referees, a co-editor, and a guest co-editor have vastly improved the paper. This work is partially supported by NSF Grant SES-1227448. All errors are mine.
Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method
Version of Record online: 26 JUL 2013
© 2013 The Econometric Society
Volume 81, Issue 4, pages 1673–1693, July 2013
How to Cite
Li, J. (2013), Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method. Econometrica, 81: 1673–1693. doi: 10.3982/ECTA10534
- Issue online: 26 JUL 2013
- Version of Record online: 26 JUL 2013
- Manuscript received January, 2012; final revision received January, 2013.
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