Correcting microstructure comovement biases for integrated covariance

Jin Huei Yeh, Jying Nan Wang

研究成果: 雜誌貢獻期刊論文同行評審

1 引文 斯高帕斯(Scopus)

摘要

Finding a precise variance-covariance matrix is the building block of empirical finance. While microstructure-noise-robust methods for realized volatility are in the mainstream of financial econometrics, little if any attention has been devoted to estimating a noise-free realized covariance for overlooking the well-documented manifestation of commonality in market microstructure factors such as order flows, liquidity or herding. By documenting and recognizing this fact, we propose a microstructure-noise-free nonparametric covariance estimator to uncover the virtual integrated covariance. The estimator is easy to implement and performs admirably.

原文???core.languages.en_GB???
頁(從 - 到)184-191
頁數8
期刊Finance Research Letters
7
發行號3
DOIs
出版狀態已出版 - 9月 2010

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