Change-point inference on volatility in noisy Ito semimartingales

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:129

Article

Bibinger, Markus¹  Madensoy, Mehmet² 

[1] Philipps Univ Marburg, Fac Math & Comp Sci, Marburg, Germany

[2] Mannheim Univ, Sch Business Informat & Math, Mannheim, Germany

关键词: Change-point analysis;    High-frequency data;    Market microstructure;    Volatility estimation;    Volatility jump;   

DOI  :  10.1016/j.spa.2018.12.013

来源: Elsevier

【 摘 要 】

This work is concerned with tests on structural breaks in the spot volatility process of a general Ito semimartingale based on discrete observations contaminated with i.i.d. microstructure noise. We construct a consistent test building up on infill asymptotic results for certain functionals of spectral spot volatility estimates. A weak limit theorem is established under the null hypothesis relying on extreme value theory. We prove consistency of the test and of an associated estimator for the change point. A simulation study illustrates the finite-sample performance of the method and efficiency gains compared to a skip-sampling approach. (C) 2018 Elsevier B.V. All rights reserved.

【 授权许可】

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