Change point inference on volatility in noisy Itô semimartingales

11/23/2017

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by   Markus Bibinger, et al.

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This work is concerned with tests on structural breaks in the spot volatility process of a general Itô 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 which allows for the construction of confidence intervals. A simulation study illustrates the finite-sample performance of the method and efficiency gains compared to a skip-sampling approach.