A ReMeDI for microstructure noise
From MaRDI portal
Publication:5087299
Recommendations
- Statistical Properties of Microstructure Noise
- Estimation for high-frequency data under parametric market microstructure noise
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Measuring the relevance of the microstructure noise in financial data
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
Cited in
(15)- Measuring the relevance of the microstructure noise in financial data
- Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
- A new robust Kalman filter for filtering the microstructure noise
- Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
- Estimation for high-frequency data under parametric market microstructure noise
- Volatility measurement with pockets of extreme return persistence
- A new microstructure noise index
- Inference for calendar effects in microstructure noise
- Nonparametric estimation for high-frequency data incorporating trading information
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
- Robust covariance estimation with noisy high-frequency financial data
- Intraday Periodic Volatility Curves
- Intraday cross-sectional distributions of systematic risk
- Optimal nonparametric range-based volatility estimation
This page was built for publication: A ReMeDI for microstructure noise
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5087299)
