Disentangling Sources of High Frequency Market Microstructure Noise
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Cites work
- A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
- A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises
- A Tale of Two Time Scales
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Efficient asymptotic variance reduction when estimating volatility in high frequency data
- Efficient estimation of integrated volatility incorporating trading information
- High frequency market microstructure noise estimates and liquidity measures
- scientific article; zbMATH DE number 936411 (Why is no real title available?)
- Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Jump-robust volatility estimation using nearest neighbor truncation
- Local Parametric Estimation in High Frequency Data
- Microstructure noise in the continuous case: the pre-averaging approach
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
- On high frequency estimation of the frictionless price: the use of observed liquidity variables
- On the correlation structure of microstructure noise: a financial economic approach
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Statistical inference for the doubly stochastic self-exciting process
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- Volatility inference in the presence of both endogenous time and microstructure noise
- Volatility jumps
- Zero-intelligence realized variance estimation.
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