On estimating market microstructure noise variance

DOI10.1016/j.econlet.2016.11.009zbMath1395.91226OpenAlexW2552139283MaRDI QIDQ1672752

Yingjie Dong, Yiu Kuen Tse

Publication date: 11 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1921

zbMATH Keywords

high-frequency datamicrostructure noiserealized variancenoise-to-signal ratio

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Modeling and Forecasting Realized Volatility
• A Tale of Two Time Scales

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