A Short Overview on Limit Theorems and Microstructure Noise Modeling for (Ultra) High Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.2087910 ◽

2010 ◽

Author(s):

Joachim Yaakov Nahmani

Keyword(s):

High Frequency ◽

Limit Theorems ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Ultra High Frequency ◽

Noise Modeling ◽

Short Overview

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Supplementary Material for "Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data''

SSRN Electronic Journal ◽

10.2139/ssrn.3472122 ◽

2019 ◽

Author(s):

Z. Merrick Li ◽

Michel Vellekoop ◽

Roger Jean Auguste Laeven

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Volatility Estimation ◽

Integrated Volatility ◽

Supplementary Material

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A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.2741911 ◽

2016 ◽

Cited By ~ 2

Author(s):

Yacine Ait-Sahalia ◽

Dacheng Xiu

Keyword(s):

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Hausman Test ◽

Market Microstructure Noise

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Endogenous Markov Switching Regression Models for High-Frequency Data Under Microstructure Noise

SSRN Electronic Journal ◽

10.2139/ssrn.2611154 ◽

2015 ◽

Author(s):

Markus Leippold ◽

Felix Matthys

Keyword(s):

High Frequency ◽

Regression Models ◽

Markov Switching ◽

High Frequency Data ◽

Switching Regression ◽

Frequency Data ◽

Microstructure Noise ◽

Switching Regression Models

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Estimation for high-frequency data under parametric market microstructure noise

Annals of the Institute of Statistical Mathematics ◽

10.1007/s10463-020-00762-3 ◽

2020 ◽

Author(s):

Simon Clinet ◽

Yoann Potiron

Keyword(s):

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Market Microstructure Noise

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A Hausman test for the presence of market microstructure noise in high frequency data

Journal of Econometrics ◽

10.1016/j.jeconom.2018.12.013 ◽

2019 ◽

Vol 211 (1) ◽

pp. 176-205 ◽

Cited By ~ 13

Author(s):

Yacine Aït-Sahalia ◽

Dacheng Xiu

Keyword(s):

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Hausman Test ◽

Market Microstructure Noise

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Dependent microstructure noise and integrated volatility estimation from high-frequency data

Journal of Econometrics ◽

10.1016/j.jeconom.2019.10.004 ◽

2020 ◽

Vol 215 (2) ◽

pp. 536-558

Author(s):

Z. Merrick Li ◽

Roger J.A. Laeven ◽

Michel H. Vellekoop

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Volatility Estimation ◽

Integrated Volatility

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Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data

Computational Economics ◽

10.1007/s10614-021-10210-w ◽

2021 ◽

Author(s):

Vladimír Holý ◽

Petra Tomanová

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Ultra High Frequency ◽

Quadratic Covariation

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Evaluating Volatility Forecasts with Ultra-High-Frequency Data—Evidence from the Australian Equity Market

Theoretical Economics Letters ◽

10.4236/tel.2018.81001 ◽

2018 ◽

Vol 08 (01) ◽

pp. 1-27

Author(s):

Kai Zhang ◽

Lurion De Mello ◽

Mehdi Sadeghi

Keyword(s):

High Frequency ◽

Equity Market ◽

High Frequency Data ◽

Frequency Data ◽

Ultra High Frequency

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Distribution-free specification test for volatility function based on high-frequency data with microstructure noise

Metrika ◽

10.1007/s00184-021-00857-8 ◽

2022 ◽

Author(s):

Yinfen Tang ◽

Tao Su ◽

Zhiyuan Zhang

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Specification Test ◽

Distribution Free ◽

Volatility Function

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The Econometrics of Ultra-high-frequency Data

Econometrica ◽

10.1111/1468-0262.00091 ◽

2000 ◽

Vol 68 (1) ◽

pp. 1-22 ◽

Cited By ~ 439

Author(s):

Robert F. Engle

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Ultra High Frequency

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