Related papers: Statistical Properties of Microstructure Noise
We present a systematic study of moment evolution in multidimensional stochastic difference systems, focusing on characterizing systems whose low-order moments diverge in the neighborhood of a stable fixed point. We consider systems with a…
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, and their asymptotic properties are…
Filtered Poisson processes are often used as reference models for intermittent fluc- tuations in physical systems. Such a process is here extended by adding a noise term, either as a purely additive term to the process or as a dynamical…
We develop a general class of noise-robust estimators based on the existing estimators in the non-noisy high-frequency data literature. The microstructure noise is a parametric function of the limit order book. The noise-robust estimators…
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local…
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including integrated and spot volatilities) of assets, and many methods…
We consider estimation of the spot volatility in a stochastic boundary model with one-sided microstructure noise for high-frequency limit order prices. Based on discrete, noisy observations of an It\^o semimartingale with jumps and general…
In this paper, we develop econometric tools to analyze the integrated volatility of the efficient price and the dynamic properties of microstructure noise in high-frequency data under general dependent noise. We first develop consistent…
This paper builds the clustering model of measures of market microstructure features which are popular in predicting stock returns. In a 10-second time-frequency, we study the clustering structure of different measures to find out the best…
Noise is an unavoidable part of most measurements which can hinder a correct interpretation of the data. Uncertainties propagate in the data analysis and can lead to biased results even in basic descriptive statistics such as the central…
We consider the problem of testing the parametric form of the volatility for high frequency data. It is demonstrated that in the presence of microstructure noise commonly used tests do not keep the preassigned level and are inconsistent.…
Some limit theorems are proven for the linear oscillator with random coefficients. The asymptotic behaviour of the moments is studied in detail. The technique presented in this paper can be applied to general linear systems with noise and…
Generalized method of moments estimators based on higher-order moment conditions derived from independent shocks can be used to identify and estimate the simultaneous interaction in structural vector autoregressions. This study highlights…
For a general class of diffusion processes with multiplicative noise, describing a variety of physical as well as financial phenomena, mostly typical of complex systems, we obtain the analytical solution for the moments at all times. We…
Prior research has shown that autocorrelation and variance in voltage measurements tend to increase as power systems approach instability. This paper seeks to identify the conditions under which these statistical indicators provide reliable…
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate…
In this paper, we build tests for the presence of residual noise in a model where the market microstructure noise is a known parametric function of some variables from the limit order book. The tests compare two distinct quasi-maximum…
This paper presents a central limit theorem for a pre-averaged version of the realized covariance estimator for the quadratic covariation of a discretely observed semimartingale with noise. The semimartingale possibly has jumps, while the…
In this paper, we are interested in testing if the volatility process is constant or not during a given time span by using high-frequency data with the presence of jumps and microstructure noise. Based on estimators of integrated volatility…
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local…