On estimating market microstructure noise variance
We study the market microstructure noise-variance estimation of high-frequency stock prices. Based on the Hansen and Lunde (2006) approach, we propose estimates using subsampling method at different time scales. We conduct a Monte Carlo study to compare our method against others in the literature. O...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2017
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/1921 https://ink.library.smu.edu.sg/context/soe_research/article/2920/viewcontent/On_estimating_market_microstructure_noise_variance_afv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |
| Summary: | We study the market microstructure noise-variance estimation of high-frequency stock prices. Based on the Hansen and Lunde (2006) approach, we propose estimates using subsampling method at different time scales. We conduct a Monte Carlo study to compare our method against others in the literature. Our results show that our proposed estimates have lower (absolute) mean error and root mean-squared error, and their performance is quite stable at different time scales. |
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