A0504
Title: Testing for endogeneity of irregular sampling schemes
Authors: Davide Pirino - University of Rome Tor Vergata (Italy) [presenting]
Aleksey Kolokolov - Alliance Manchester Business School (United Kingdom)
Giulia Livieri - Scuola Normale Superiore (Italy)
Abstract: In the context of high-frequency data, a simplifying assumption of the independence between the sampling scheme and the observed process itself is often made. In order to justify or reject the assumption empirically, we propose a statistical test for the endogeneity of the sampling times. The test is robust to the presence of jumps and can be used for detecting the dependence between zeros in the financial prices sampled at a moderate frequency and the efficient price process. Extensive Monte Carlo simulations confirm the good finite sample performance of the proposed test.
