Detecting price jumps in the presence of market microstructure noise

Journal of Nonparametric Statistics ◽

10.1080/10485252.2019.1643019 ◽

2019 ◽

Vol 31 (3) ◽

pp. 769-793 ◽

Author(s):

Yucheng Sun

Keyword(s):

Market Microstructure ◽

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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Realized Variance and Market Microstructure Noise

SSRN Electronic Journal ◽

10.2139/ssrn.506542 ◽

2005 ◽

Author(s):

Peter Reinhard Hansen ◽

Asger Lunde

Keyword(s):

Market Microstructure ◽

Microstructure Noise ◽

Realized Variance ◽

Market Microstructure Noise

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Jumps in equilibrium prices and market microstructure noise

Journal of Econometrics ◽

10.1016/j.jeconom.2012.03.001 ◽

2012 ◽

Vol 168 (2) ◽

pp. 396-406 ◽

Author(s):

Suzanne S. Lee ◽

Per A. Mykland

Keyword(s):

Market Microstructure ◽

Microstructure Noise ◽

Market Microstructure Noise ◽

Equilibrium Prices

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How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

Stochastic Finance ◽

10.1007/0-387-28359-5_1 ◽

2006 ◽

pp. 3-72 ◽

Author(s):

Yacine Aït-Sahalia ◽

Per A. Mykland ◽

Lan Zhang

Keyword(s):

Market Microstructure ◽

Continuous Time ◽

Time Process ◽

Microstructure Noise ◽

Market Microstructure Noise ◽

Continuous Time Process

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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

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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A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbt015 ◽

2013 ◽

Vol 13 (1) ◽

pp. 45-82 ◽

Author(s):

D. Nagakura ◽

T. Watanabe

Keyword(s):

State Space ◽

Market Microstructure ◽

Microstructure Noise ◽

State Space Approach ◽

Market Microstructure Noise ◽

Integrated Variance ◽

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Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise

SSRN Electronic Journal ◽

10.2139/ssrn.935419 ◽

2008 ◽

Author(s):

Kim Christensen ◽

Mark Podolskij ◽

Mathias Vetter

Keyword(s):

Market Microstructure ◽

Microstructure Noise ◽

Market Microstructure Noise

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Decimalization, Realized Volatility, and Market Microstructure Noise

SSRN Electronic Journal ◽

10.2139/ssrn.1131265 ◽

2010 ◽

Author(s):

Tommi A. Vuorenmaa

Keyword(s):

Market Microstructure ◽

Realized Volatility ◽

Microstructure Noise ◽

Market Microstructure Noise

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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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