Estimation for high-frequency data under parametric market microstructure noise

Annals of the Institute of Statistical Mathematics ◽

10.1007/s10463-020-00762-3 ◽

2020 ◽

Author(s):

Simon Clinet ◽

Yoann Potiron

Keyword(s):

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Market Microstructure Noise

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A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.2741911 ◽

2016 ◽

Author(s):

Yacine Ait-Sahalia ◽

Dacheng Xiu

Keyword(s):

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Hausman Test ◽

Market Microstructure Noise

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A Hausman test for the presence of market microstructure noise in high frequency data

Journal of Econometrics ◽

10.1016/j.jeconom.2018.12.013 ◽

2019 ◽

Vol 211 (1) ◽

pp. 176-205 ◽

Author(s):

Yacine Aït-Sahalia ◽

Dacheng Xiu

Keyword(s):

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Hausman Test ◽

Market Microstructure Noise

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Discerning Non-Stationary Market Microstructure Noise and Time-Varying Liquidity in High Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.2699927 ◽

2015 ◽

Author(s):

Richard Yongrui Chen ◽

Per A. Mykland

Keyword(s):

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Time Varying ◽

Frequency Data ◽

Microstructure Noise ◽

Market Microstructure Noise

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Supplementary Material for "Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data''

SSRN Electronic Journal ◽

10.2139/ssrn.3472122 ◽

2019 ◽

Author(s):

Z. Merrick Li ◽

Michel Vellekoop ◽

Roger Jean Auguste Laeven

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Volatility Estimation ◽

Integrated Volatility ◽

Supplementary Material

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High-Frequency Data Analysis and Market Microstructure

Analysis of Financial Time Series ◽

10.1002/0471264105.ch5 ◽

2003 ◽

pp. 175-220

Keyword(s):

Data Analysis ◽

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

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Endogenous Markov Switching Regression Models for High-Frequency Data Under Microstructure Noise

SSRN Electronic Journal ◽

10.2139/ssrn.2611154 ◽

2015 ◽

Author(s):

Markus Leippold ◽

Felix Matthys

Keyword(s):

High Frequency ◽

Regression Models ◽

Markov Switching ◽

High Frequency Data ◽

Switching Regression ◽

Frequency Data ◽

Microstructure Noise ◽

Switching Regression Models

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High-Frequency Data Analysis and Market Microstructure

Analysis of Financial Time Series - Wiley Series in Probability and Statistics ◽

10.1002/9780470644560.ch5 ◽

2010 ◽

pp. 231-285

Keyword(s):

Data Analysis ◽

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

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Dependent microstructure noise and integrated volatility estimation from high-frequency data

Journal of Econometrics ◽

10.1016/j.jeconom.2019.10.004 ◽

2020 ◽

Vol 215 (2) ◽

pp. 536-558

Author(s):

Z. Merrick Li ◽

Roger J.A. Laeven ◽

Michel H. Vellekoop

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Volatility Estimation ◽

Integrated Volatility

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Disentangling Sources of High Frequency Market Microstructure Noise

Journal of Business and Economic Statistics ◽

10.1080/07350015.2019.1617158 ◽

2019 ◽

Vol 39 (1) ◽

pp. 18-39 ◽

Author(s):

Simon Clinet ◽

Yoann Potiron

Keyword(s):

Market Microstructure ◽

High Frequency ◽

Microstructure Noise ◽

Market Microstructure Noise

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How Do Price Limits Influence French Market Microstructure? A High Frequency Data Analysis in Terms of Return, Volatility and Volume

SSRN Electronic Journal ◽

10.2139/ssrn.2139657 ◽

2012 ◽

Author(s):

Karine Michalon

Keyword(s):

Data Analysis ◽

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Return Volatility ◽

Frequency Data ◽

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