Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia - In: Journal of Econometrics 168 (2012) 2, pp. 207-222
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...