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Supplementary Material for "Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data''
Li, Z. Merrick - 2019
Persistent link: https://www.econbiz.de/10012860916
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Dependent microstructure noise and integrated volatility : estimation from high-frequency data
Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel - 2019
Persistent link: https://www.econbiz.de/10012703138
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Dependent microstructure noise and integrated volatility estimation from high-frequency data
Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel H. - In: Journal of econometrics 215 (2020) 2, pp. 536-558
Persistent link: https://www.econbiz.de/10012439499
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A ReMeDI for microstructure noise
Li, Z. Merrick; Linton, Oliver - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 1, pp. 367-389
Persistent link: https://www.econbiz.de/10012821689
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A ReMeDI for Microstructure Noise
Li, Z. Merrick - 2020
We introduce the Realized moMents of Disjoint Increments (ReMeDI) paradigm to measure microstructure noise (the deviation of the observed asset prices from the fundamental values caused by market imperfections). We propose consistent estimators of arbitrary moments of the microstructure noise...
Persistent link: https://www.econbiz.de/10012823644
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Supplementary Material for 'A ReMeDI for Microstructure Noise''
Li, Z. Merrick - 2020
Persistent link: https://www.econbiz.de/10012823645
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Supplementary Material for 'A ReMeDI for Microstructure Noise'
Li, Z. Merrick - 2019
This note contains the supplements to Li and Linton (2019). Section A contains extensive simulation studies. Section B presents the methodology and a detailed numerical algorithm to select the tuning parameters. Section C presents additional empirical studies. Section D contains all mathematical...
Persistent link: https://www.econbiz.de/10012865811
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A remedi for microstructure noise
Li, Z. Merrick; Linton, Oliver - 2020
Persistent link: https://www.econbiz.de/10012692260
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Supplementary Materials for 'A ReMeDI for Microstructure Noise'
Li, Z. Merrick; Linton, Oliver B. - 2021
Persistent link: https://www.econbiz.de/10013237457
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A ReMeDI for Microstructure Noise
Li, Z. Merrick; Linton, Oliver B. - 2021
We introduce the Realized moMents of Disjoint Increments (ReMeDI) paradigm to measure microstructure noise (the deviation of the observed asset prices from the fundamental values caused by market imperfections). We propose consistent estimators of arbitrary moments of the microstructure noise...
Persistent link: https://www.econbiz.de/10013238391