Change-point inference on volatility in noisy Ito semimartingales

[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.

[发布日期] 2019-12-01

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