How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
نویسندگان
چکیده
منابع مشابه
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise∗
Classical statistics suggest that for inference purposes one should always use as much data as is available. We study how the presence of market microstructure noise in high-frequency financial data can change that result. We derive the optimal sampling frequency when the observations are contaminated by market microstructure effects: empirically, it is measured in hours, not minutes. We then a...
متن کاملDetecting Price Jumps in the Presence of Market Microstructure Noise
In this paper we design a test to detect the arrivals of jumps in asset prices contaminated by market microstructure noise. This test is defined by means of the truncated two-scales realized volatility estimator, recently introduced in Brownlees, Nualart, and Sun (2016), which is a robust estimator of the realized volatility in the presence of price jumps and market microstructure noise. We der...
متن کاملfrom linguistics to literature: a linguistic approach to the study of linguistic deviations in the turkish divan of shahriar
chapter i provides an overview of structural linguistics and touches upon the saussurean dichotomies with the final goal of exploring their relevance to the stylistic studies of literature. to provide evidence for the singificance of the study, chapter ii deals with the controversial issue of linguistics and literature, and presents opposing views which, at the same time, have been central to t...
15 صفحه اولa synchronic and diachronic approach to the change route of address terms in the two recent centuries of persian language
terms of address as an important linguistics items provide valuable information about the interlocutors, their relationship and their circumstances. this study was done to investigate the change route of persian address terms in the two recent centuries including three historical periods of qajar, pahlavi and after the islamic revolution. data were extracted from a corpus consisting 24 novels w...
15 صفحه اولa frame semantic approach to the study of translating cultural scripts in salingers franny and zooey
the frame semantic theory is a nascent approach in the area of translation studies which goes beyond the linguistic barriers and helps us to incorporate cognitive and cultural factors to the study of translation. based on rojos analytical model (2002b), which centered in the frames or knowledge structures activated in the text, the present research explores the various translation problems that...
15 صفحه اولذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2005
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhi016