Supplement to "Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-averaging Method"

This supplement includes two appendices.  Supplemental Appendix A gives the proofs of the results in the main text.  Supplemental Appendix B provides simulation results of the theory in the main text.

Supplemental Authors: 
Jia Li