On estimating market microstructure noise variance

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: DONG, Yingjie, TSE, Yiu Kuen
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
High-frequency data
Microstructure noise
Noise-to-signal ratio
Realized variance
Econometrics
Economic Theory
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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spelling sg-smu-ink.soe_research-29202019-01-17T09:34:35Z On estimating market microstructure noise variance DONG, Yingjie TSE, Yiu Kuen 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. 2017-01-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1921 info:doi/10.1016/j.econlet.2016.11.009 https://ink.library.smu.edu.sg/context/soe_research/article/2920/viewcontent/On_estimating_market_microstructure_noise_variance_afv.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University High-frequency data Microstructure noise Noise-to-signal ratio Realized variance Econometrics Economic Theory
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic High-frequency data
Microstructure noise
Noise-to-signal ratio
Realized variance
Econometrics
Economic Theory
spellingShingle High-frequency data
Microstructure noise
Noise-to-signal ratio
Realized variance
Econometrics
Economic Theory
DONG, Yingjie
TSE, Yiu Kuen
On estimating market microstructure noise variance
description 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.
format text
author DONG, Yingjie
TSE, Yiu Kuen
author_facet DONG, Yingjie
TSE, Yiu Kuen
author_sort DONG, Yingjie
title On estimating market microstructure noise variance
title_short On estimating market microstructure noise variance
title_full On estimating market microstructure noise variance
title_fullStr On estimating market microstructure noise variance
title_full_unstemmed On estimating market microstructure noise variance
title_sort on estimating market microstructure noise variance
publisher Institutional Knowledge at Singapore Management University
publishDate 2017
url 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
_version_ 1770573264994697216

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