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Statistical causes for the Epps effect in microstructure noise
Statistical Epps effect microstructure noise
2010/10/21
We present two statistical causes for the distortion of correlations on high-frequency financial data. We demonstrate that the asynchrony of trades as well as the decimalization of stock prices has a...
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
Asymptotic equivalence volatility estimation microstructure noise
2010/10/18
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sens...
High frequency market microstructure noise estimates and liquidity measures
High frequency market microstructure noise estimates and liquidity measures
2010/11/1
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 microstru...
HIGH FREQUENCY MARKET MICROSTRUCTURE NOISE ESTIMATES AND LIQUIDITY MEASURES
Market microstructure noise robust volatility estimation high frequency data liquidity stock returns
2014/3/13
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 microstru...
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Continuous-Time Process iin the Presence of Market Microstructure Noise
2014/3/13
In theory, the sum of squares of log returns sampled at high frequency estimates their variance. When market microstructure noise is present but unaccounted for, however,we show that the optimal sampl...