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arXiv · 1711.08736

Change-point inference on volatility in noisy It\^o semimartingales

Markus Bibinger·Mehmet Madensoy
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Abstract

This work is concerned with tests on structural breaks in the spot volatility process of a general It\^o 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.

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Markus Bibinger, Mehmet Madensoy. 2017-11-23. Change-point inference on volatility in noisy It\^o semimartingales. https://arxiv.org/abs/1711.08736

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