On estimating market microstructure noise variance

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• 作者：Yingjie Dong^a ; ^{02541@uibe.edu.cn} ; Yiu-Kuen Tse^b
• 关键词：C410 ; G120
• 刊名：Economics Letters
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：150
• 期：Complete
• 页码：59-62
• 全文大小：382 K
• 卷排序：150

文摘

Propose modified estimates of market microstructure noise (MMN) variance based on Hansen and Lunde (2006). Report Monte Carlo results of comparison of different estimates of MMN variance. Report better performance of modified estimates at different frequencies. Report empirical estimates of MMN variance for some liquid NYSE stocks in 2010–2013.