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
proofs