A Simple Microstructure Return Model Explaining Microstructure Noise and Epps Effects
نویسندگان
چکیده
منابع مشابه
Estimating Covariation : Epps Effect , Microstructure Noise ∗
This paper is about how to estimate the integrated covariance 〈X,Y 〉T of two assets over a fixed time horizon [0, T ], when the observations of X and Y are “contaminated” and when such noisy observations are at discrete, but not synchronized, times. We show that the usual previous-tick covariance estimator is biased, and the size of the bias is more pronounced for less liquid assets. This is an...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2009392