Least Squares inference on integrated volatility and the relationship between efficient Prices and noise

Nolte, Ingmar and Voev, Valeri (2012) Least Squares inference on integrated volatility and the relationship between efficient Prices and noise. Journal of Business and Economic Statistics, 30 (1). pp. 94-108. ISSN 0735-0015

Full text not available from this repository.

Abstract

The expected value of sums of squared intraday returns (realized variance) gives rise to a least squares regression which adapts itself to the assumptions of the noise process and allows for joint inference on integrated variance (), noise moments, and price-noise relations. In the iid noise case, we derive the asymptotic variance of the and noise variance estimators and show that they are consistent. The joint estimation approach is particularly attractive as it reveals important characteristics of the noise process which can be related to liquidity and market efficiency. The analysis of dependence between the price and noise processes provides an often missing link to market microstructure theory. We find substantial differences in the noise characteristics of trade and quote data arising from the effect of distinct market microstructure frictions. This article has supplementary material online.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Business and Economic Statistics
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800/1804
Subjects:
ID Code:
64687
Deposited By:
Deposited On:
21 May 2013 09:16
Refereed?:
Yes
Published?:
Published
Last Modified:
01 Jan 2020 08:29