Statistical Properties of Microstructure Noise
نویسندگان
چکیده
منابع مشابه
Statistical Properties of Microstructure Noise
We study the estimation of moments and joint moments of microstructure noise. Estimators of arbitrary order of (joint) moments are provided, for which we establish consistency as well as central limit theorems. In particular, we provide estimators of auto-covariances and auto-correlations of the noise. Simulation studies demonstrate excellent performance of our estimators even in the presence o...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2212119