Title: Change-point inference on volatility in noisy Itô semimartingales,
Abstract: 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. We prove consistency of the test
and of an associated estimator for the change point. A simulation study
illustrates the finite-sample performance of the method and efficiency gains
compared to a skip-sampling approach.