On estimating market microstructure noise variance
Sign Up to like & getrecommendations! Published in 2017 at "Economics Letters"
DOI: 10.1016/j.econlet.2016.11.009
Abstract: We study the market microstructure noise-variance estimation of high-frequency stock prices. Based on the Hansen and Lunde (2006) approach, we propose estimates using subsampling method at different time scales. We conduct a Monte Carlo study… read more here.
Keywords: noise variance; market microstructure; microstructure noise;
Detecting price jumps in the presence of market microstructure noise
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Nonparametric Statistics"
DOI: 10.1080/10485252.2019.1643019
Abstract: ABSTRACT In this paper we design a test to detect the arrivals of jumps in asset prices contaminated by market microstructure noise. This test is defined by means of the truncated two-scales realised volatility estimator,… read more here.
Keywords: test; presence; market microstructure; microstructure noise ... See more keywords
Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
Sign Up to like & getrecommendations! Published in 2018 at "Bernoulli"
DOI: 10.3150/17-bej962
Abstract: We study parametric inference for diffusion processes when observations occur nonsynchronously and are contaminated by market microstructure noise. We construct a quasi-likelihood function and study asymptotic mixed normality of maximum-likelihood- and Bayes-type estimators based on… read more here.
Keywords: diffusion; microstructure noise; noise; diffusion processes ... See more keywords