Show simple item record

dc.contributor.authorLi, Z. M.
dc.contributor.authorLaeven, R. J. A.
dc.contributor.authorVellekoop, M. H.
dc.date.accessioned2019-06-28T08:38:19Z
dc.date.available2019-06-28T08:38:19Z
dc.date.issued2019-06-14
dc.identifier.otherCWPE1952
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/294133
dc.description.abstractIn this paper, we develop econometric tools to analyze the integrated volatility (IV) of the efficient price and the dynamic properties of microstructure noise in high-frequency data under general dependent noise. We first develop consistent estimators of the variance and autocovariances of noise using a variant of realized volatility. Next, we employ these estimators to adapt the pre-averaging method and derive consistent estimators of the IV, which converge stably to a mixed Gaussian distribution at the optimal rate n<sup>1/4</sup>. To improve the finite sample performance, we propose a multi-step approach that corrects the finite sample bias, which turns out to be crucial in applications. Our extensive simulation studies demonstrate the excellent performance of our multi-step estimators. In an empirical study, we analyze the dependence structures of microstructure noise and provide intuitive economic interpretations; we also illustrate the importance of accounting for both the serial dependence in noise and the finite sample bias when estimating IV.
dc.publisherFaculty of Economics, University of Cambridge
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserved
dc.rights.urihttp://www.rioxx.net/licenses/all-rights-reserved/
dc.subjectDependent microstructure noise
dc.subjectrealized volatility
dc.subjectbias correction
dc.subjectintegrated volatility
dc.subjectmixing sequences
dc.subjectpre-averaging method
dc.titleDependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data
dc.typeWorking Paper
dc.identifier.doi10.17863/CAM.41234


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record