A REMEDI FOR MICROSTRUCTURE NOISE
A REMEDI FOR MICROSTRUCTURE NOISE
About this item
Full title
A REMEDI FOR MICROSTRUCTURE NOISE
Author / Creator
Publisher
Evanston: Wiley
Journal title
Econometrica, 2022-01, Vol.90 (1), p.367-389
Language
English
Formats
Publication information
Publisher
Evanston: Wiley
Subjects
More information
Scope and Contents
Contents
We introduce the Realized moMents of Disjoint Increments (ReMeDI) paradigm to measure microstructure noise (the deviation of the observed asset prices from the fundamental values caused by market imperfections). We propose consistent estimators of arbitrary moments of the microstructure noise process based on high-frequency data, where the noise pr...
Alternative Titles
Full title
A REMEDI FOR MICROSTRUCTURE NOISE
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_proquest_journals_2622888044
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2622888044
Other Identifiers
ISSN
0012-9682
E-ISSN
1468-0262
DOI
10.3982/ECTA17505
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