A new robust Kalman filter for filtering the microstructure noise

DOI10.1080/03610926.2015.1096390zbMath1376.37125OpenAlexW2481409379MaRDI QIDQ5351738

Yun-Cheng Tsai, Yuh-Dauh Lyuu

Publication date: 30 August 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1096390

zbMATH Keywords

Kalman filtervolatilityhigh-frequency tradingmicrostructure noiseKalman gainnoise-to-signal-ratio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Time series analysis of dynamical systems (37M10)

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