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Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data
Li, Z. Merrick - 2019
In this paper, we develop econometric tools to analyze the integrated volatility (IV) of the efficient price and the dynamic properties of microstructure noise in high-frequency data under general dependent noise. We first develop consistent estimators of the variance and autocovariances of...
Persistent link: https://www.econbiz.de/10012860921
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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 - In: Journal of econometrics 215 (2020) 2, pp. 536-558
Persistent link: https://www.econbiz.de/10012439499
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An empirical analysis of the role of the trading intensity in information dissemination on the NYSE
Spierdijk, Laura - In: Journal of empirical finance 11 (2004) 2, pp. 163-184
Persistent link: https://www.econbiz.de/10001880919
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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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Modeling comovements in trading intensities to distinguish sector and stock specific news
Spierdijk, Laura (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001692418
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The price impact of trades in illuquid stocks in periods of high and low market activity
Spierdijk, Laura (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001659719
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An empirical analysis of the role of the trading intensity in information dissemination on the NYSE
Spierdijk, Laura (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001660994
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Empirical studies of market microstructure
Spierdijk, Laura - 2003
Persistent link: https://www.econbiz.de/10001861338