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;