A ReMeDI for microstructure noise
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Recommendations
- Statistical Properties of Microstructure Noise
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Cited in
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- Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
- Intraday Periodic Volatility Curves
- Cleaning the carbon market! Market transparency and market efficiency in the EU ETS
- Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
- Integrated volatility estimation: the case of observed noise variables
- Measuring the relevance of the microstructure noise in financial data
- Robust covariance estimation with noisy high-frequency financial data
- Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
- Volatility measurement with pockets of extreme return persistence
- Nonparametric estimation of large spot volatility matrices for high-frequency financial data
- A new microstructure noise index
- Intraday cross-sectional distributions of systematic risk
- Optimal nonparametric range-based volatility estimation
- Reprint of: Nonparametric estimation for high-frequency data incorporating trading information
- FX futures invariance
- Efficient sampling for realized variance estimation in time-changed diffusion models
- Testing for jumps in a discretely observed price process with endogenous sampling times
- Realized drift
- Robust realized integrated beta estimator with application to dynamic analysis of integrated beta
- Robust estimation of integrated and spot volatility
- Nonparametric estimation for high-frequency data incorporating trading information
- Estimation for high-frequency data under parametric market microstructure noise
- Uncovering mild drift in asset prices with intraday high-frequency data
- Multi-horizon test for market frictions
- Jump detection in high-frequency order prices
- Inference for calendar effects in microstructure noise
- Nonparametric Test for Rough Volatility
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
- Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
- When Frictions Are Fractional: Rough Noise in High-Frequency Data
- S\&P 500 microstructure noise components: empirical inferences from futures and ETF prices
- Testing mean stationarity of intraday volatility curves
- High frequency factor analysis with partially observable factors
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