Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

In this paper, we build tests for the presence of residual noise in a model where the market microstructure noise is a known parametric function of some variables from the limit order book. The tests compare two distinct quasi-maximum likelihood estimators of volatility, where the related model includes a residual noise in the market microstructure noise or not. The limit theory is investigated in a general nonparametric framework. In the presence of residual noise, we examine the central limit theory of the related quasi-maximum likelihood estimation approach.

Original languageEnglish
JournalJournal of Econometrics
DOIs
Publication statusPublished - 2019 Jan 1

Keywords

  • Efficient price
  • Estimation
  • High frequency data
  • Information
  • Integrated volatility
  • Limit order book
  • Market microstructure noise
  • Quasi-maximum likelihood estimator
  • Realized volatility
  • Test

ASJC Scopus subject areas

  • Economics and Econometrics

Fingerprint Dive into the research topics of 'Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book'. Together they form a unique fingerprint.

  • Cite this