A ReMeDI for microstructure noise
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Publication:5087299
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- 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
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