On estimating market microstructure noise variance
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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;
Maximum Likelihood Estimation of Wiener Phase Noise Variance in Coherent Optical Systems
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DOI: 10.1109/jlt.2024.3357289
Abstract: The estimation of laser linewidth or phase noise variance is of great significance for the applications including coherent optical communications, optical fiber sensing, quantum optics, etc., to ensure the detection sensitivity and accuracy. In coherent… read more here.
Keywords: wiener phase; noise variance; phase noise; phase ... See more keywords