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On the correlation structure of microstructure noise : a financial economic approach

Diebold, Francis X.; Strasser, Georg - 2010

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation … geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are …

Persistent link: https://www.econbiz.de/10008697775

Macroeconomics and volatility : data, models, and estimation

Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - 2010

Persistent link: https://www.econbiz.de/10008780325

Coordinated noise trading : evidence from pension fund reallocations

Da, Zhi; Larrain, Borja; Sialm, Clemens; Tessada, José A. - 2016

Persistent link: https://www.econbiz.de/10011474671

Volatility and informativeness

Dávila, Eduardo; Parlatore, Cecilia - 2019

Persistent link: https://www.econbiz.de/10011982164

Analyzing the spectrum of asset returns : jump and volatility components in high frequency data

Aït-Sahalia, Yacine; Jacod, Jean - 2010

Persistent link: https://www.econbiz.de/10003951823

High frequency market microstructure noise estimates and liquidity measures

Aït-Sahalia, Yacine; Yu, Jialin - 2008

"Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure...