On the Correlation Structure of Microstructure Noise in Theory and Practice
نویسندگان
چکیده
منابع مشابه
On the Correlation Structure of Microstructure Noise in Theory and Practice
We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation at zero displacem...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1286143