It is well known that the bias called market microstructure noise will arise, when estimating realized co-volatility matrix which is calculated as a sum of cross products of intraday high-frequency returns. An existing conventional technique for removing such a market microstructure noise is to...

It is well known that the distribution of statistics testing restrictions on the coefficients in time series regressions can depend on the order of integration of the regressors. In practice the order of integration is rarely blown. This paper examines two conventional approaches to this...

It is well known that the distribution of statistics testing restrictions on the coefficients in time series regressions can depend on the order of integration of the regressors. In practice the order of integration is rarely blown. This paper examines two conventional approaches to this...

We hypothesized that multiplicative decomposition would improve accuracy only in certain conditions. In particular, we expected it to help for problems involving extreme and uncertain values. We first reanalyzed results from two published studies. Decomposition improved accuracy for nine...