Published in Journal of Econometrics, 2020
Studies the impact of dependent microstructure noise on volatility estimation and proposes new estimators.
Recommended citation: Li, Z. M., Laeven, R. J. A., & Vellekoop, M. H. (2020). "Dependent microstructure noise and integrated volatility estimation from high-frequency data." Journal of Econometrics, 215(2), 536–558.
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Published in Journal of Econometrics, 215(2): 536–558, 2020
Recommended citation: Li, Z. M., Laeven, R. J. A., & Vellekoop, M. H. (2020). "Dependent microstructure noise and integrated volatility estimation from high-frequency data." Journal of Econometrics, 215(2), 536–558.
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Published in Econometrica, 2022
Introduces ReMeDI, a novel method to correct for microstructure noise in high-frequency financial data.
Recommended citation: Li, Z. M., & Linton, O. (2022). "A ReMeDI for microstructure noise." Econometrica, 90(1), 367–389.
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Published in Econometrica, 90(1): 367–389, 2022
Recommended citation: Li, Z. M., & Linton, O. (2022). "A ReMeDI for Microstructure Noise." Econometrica, 90(1), 367–389.
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Published in Journal of Econometrics, 2023
This paper develops robust methods for estimating integrated and spot volatility under microstructure noise.
Recommended citation: Li, Z. M., & Linton, O. (2023). "Robust estimation of integrated and spot volatility." Journal of Econometrics, 105614.
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Published in Journal of Econometrics, 215(2): 536–558, 2023
Recommended citation: Li, Z. M., & Linton, O. (2023). "Robust estimation of integrated and spot volatility." Journal of Econometrics, 105614.
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