On high frequency estimation of the frictionless price: the use of observed liquidity variables
From MaRDI portal
Publication:2405909
DOI10.1016/j.jeconom.2017.06.018zbMath1391.62194OpenAlexW2735706966MaRDI QIDQ2405909
Publication date: 28 September 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.06.018
stochastic volatilityendogenous noisehidden semimartingale modelinfill regressionsemiparametric volatility estimation
Related Items (8)
Local mispricing and microstructural noise: a parametric perspective ⋮ Dependent microstructure noise and integrated volatility estimation from high-frequency data ⋮ Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach ⋮ Nonparametric estimation for high-frequency data incorporating trading information ⋮ Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book ⋮ Time-Varying Periodicity in Intraday Volatility ⋮ Estimation for high-frequency data under parametric market microstructure noise ⋮ Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
Cites Work
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Ultra high frequency volatility estimation with dependent microstructure noise
- Subsampling realised kernels
- High frequency market microstructure noise estimates and liquidity measures
- On mixing and stability of limit theorems
- Microstructure noise in the continuous case: the pre-averaging approach
- Are volatility estimators robust with respect to modeling assumptions?
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Bootstrapping Realized Volatility
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- Diffusions with measurement errors. I. Local Asymptotic Normality
- 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
This page was built for publication: On high frequency estimation of the frictionless price: the use of observed liquidity variables
