STATISTICAL PROPERTIES OF MICROSTRUCTURE NOISE
STATISTICAL PROPERTIES OF MICROSTRUCTURE NOISE
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Publisher
Oxford, UK: Econometric Society
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Language
English
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Oxford, UK: Econometric Society
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We study the estimation of (joint) moments of microstructure noise based on high frequency data. The estimation is conducted under a nonparametric setting, which allows the underlying price process to have jumps, the observation times to be irregularly spaced, and the noise to be dependent on the price process and to have diurnal features. Estimato...
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Full title
STATISTICAL PROPERTIES OF MICROSTRUCTURE NOISE
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TN_cdi_proquest_journals_1922367206
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_1922367206
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ISSN
0012-9682
E-ISSN
1468-0262
DOI
10.3982/ecta13085
