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Dependent microstructure noise and integrated volatility estimation from high-frequency data
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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Dependent microstructure noise and integrated volatility estimation from high-frequency data
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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A ReMeDI for microstructure noise
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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A ReMeDI for Microstructure Noise
Published in Econometrica, 90(1): 367–389</i>, 2022 </p> Recommended citation: Li, Z. M., & Linton, O. (2022). "A ReMeDI for Microstructure Noise." Econometrica, 90(1), 367–389. 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. 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. Published: This is a description of your talk, which is a markdown file that can be all markdown-ified like any other post. Yay markdown! Published: This is a description of your conference proceedings talk, note the different field in type. You can put anything in this field. Undergraduate course, University 1, Department, 2014 This is a description of a teaching experience. You can use markdown like any other post. Workshop, University 1, Department, 2015 This is a description of a teaching experience. You can use markdown like any other post.
Download Paper</p> </article> </div> Robust estimation of integrated and spot volatility
Download Paper | Download Bibtex Robust estimation of integrated and spot volatility
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