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pro vyhledávání: '"Z. Merrick Li"'
Autor:
Z. Merrick Li, Oliver Linton
Publikováno v:
Econometrica. 90:367-389
We introduce the Realized moMents of Disjoint Increments (ReMeDI) paradigm to measure microstructure noise (the deviation of the observed asset prices from the fundamental values caused by market imperfections). We propose consistent estimators of ar
Autor:
Z. Merrick Li, Oliver B. Linton
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
Journal of Econometrics, 215(2), 536-558. Elsevier
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 estimators of
Autor:
Z. Merrick Li, Oliver B. Linton
Publikováno v:
SSRN Electronic Journal.
Autor:
Z. Merrick Li, Oliver B. Linton
Publikováno v:
SSRN Electronic Journal.
Autor:
Z. Merrick Li, Oliver B. Linton
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
Autor:
Oliver Linton, Z. Merrick Li
Publikováno v:
SSRN Electronic Journal.
This note contains the supplements to Li and Linton (2019). Section A contains extensive simulation studies. Section B presents the methodology and a detailed numerical algorithm to select the tuning parameters. Section C presents additional empirica