A ReMeDI for microstructure noise

DOI10.3982/ECTA17505zbMATH Open1492.91399MaRDI QIDQ5087299FDOQ5087299

Authors: Z. Merrick Li, Oliver Linton 

Publication date: 11 July 2022

Published in: Econometrica (Search for Journal in Brave)

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zbMATH Keywords

microstructure noisesemimartingaleinfill asymptoticsserial dependencestable convergencemixing sequencefinite sample bias

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (15)

• A new robust Kalman filter for filtering the microstructure noise
• Intraday Periodic Volatility Curves
• Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
• 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
• A new microstructure noise index
• Intraday cross-sectional distributions of systematic risk
• Optimal nonparametric range-based volatility estimation
• Nonparametric estimation for high-frequency data incorporating trading information
• Estimation for high-frequency data under parametric market microstructure noise
• Inference for calendar effects in microstructure noise
• Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
• Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data

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