Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Power variations and testing for co-jumps: the small noise approach   In this paper we study the effects of noise on the bipower variation (BPV),
realized volatility (RV) and testing for co-jumps in high-frequency data under
the small noise framework. We first establish asymptotic properties of the BPV
in this framework. In the presence of the small noise, the RV is asymptotically
biased and the additional asymptotic conditional variance term appears in its
limit distribution. We also give feasible estimation methods of the asymptotic
conditional variances of the RV. Second, we derive the asymptotic distribution
of the test statistic proposed in Jacod and Todorov(2009) under the presence of
small noise for testing the presence of co-jumps in two dimensional It\^o
semimartingale. In contrast to the setting in Jacod and Todorov(2009), we show
that the additional conditional asymptotic variance terms appear, and give
consistent estimation procedures for the asymptotic conditional variances in
order to make the test feasible. Simulation experiments show that our
asymptotic results give reasonable approximations in the finite sample cases.

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The categories of this paper are: physics
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The categories of this paper are: solv-int
33
The categories of this paper are: plasm-ph
30
The categories of this paper are: q-alg
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The categories of this paper are: acc-phys
31
The categories of this paper are: ao-sci
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The categories of this paper are: hep-th
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The categories of this paper are: math-ph
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The categories of this paper are: cond-mat
10
The categories of this paper are: q-bio
27
The categories of this paper are: comp-gas
15
The categories of this paper are: nucl-ex
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The categories of this paper are: cs
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The categories of this paper are: astro-ph
12
The categories of this paper are: nucl-th
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The categories of this paper are: nlin