Estimation of calendar effect in microstructure noise using high-frequency financial data

DOI10.20142/J.CNKI.AMAS.202401073MaRDI QIDQ7006165zbMATH OpenFDO

Authors Tao Su, Zhiyuan Zhang

Publication date 31 March 2025

Published in Acta Mathematicae Applicatae Sinica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.20142/J.CNKI.AMAS.202401073

zbMATH Keywords

calendar effecthigh-frequency dataItô semimartingalemarket microstructure noise

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15) Asymptotic properties of nonparametric inference (62G20)

Cites work

• A Tale of Two Time Scales
• Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
• 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
• Nonparametric filtering of the realized spot volatility: a kernel-based approach
• Quasi-maximum likelihood estimation of volatility with high frequency data
• Spot volatility estimation for high-frequency data
• The Distribution of Realized Exchange Rate Volatility

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