Publication Type
Journal Article
Version
acceptedVersion
Publication Date
1-2017
Abstract
We study the market microstructure noise-variance estimation of high-frequency stock prices. Based on the Hansen and Lunde (2006) approach, we propose estimates using subsampling method at different time scales. We conduct a Monte Carlo study to compare our method against others in the literature. Our results show that our proposed estimates have lower (absolute) mean error and root mean-squared error, and their performance is quite stable at different time scales.
Keywords
High-frequency data, Microstructure noise, Noise-to-signal ratio, Realized variance
Discipline
Econometrics | Economic Theory
Research Areas
Econometrics
Publication
Economics Letters
Volume
150
First Page
59
Last Page
62
ISSN
0165-1765
Identifier
10.1016/j.econlet.2016.11.009
Publisher
Elsevier
Citation
DONG, Yingjie and TSE, Yiu Kuen.
On estimating market microstructure noise variance. (2017). Economics Letters. 150, 59-62.
Available at: https://ink.library.smu.edu.sg/soe_research/1921
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.econlet.2016.11.009
