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

Simon Clinet, Yoann Potiron

研究成果: Article査読

5 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)289-337
ページ数49
ジャーナルJournal of Econometrics
209
2
DOI
出版ステータスPublished - 2019 4

ASJC Scopus subject areas

  • 経済学、計量経済学

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