On estimating market microstructure noise variance

Yingjie Dong and Yiu-Kuen Tse

Economics Letters, 2017, vol. 150, issue C, 59-62

Abstract: We study the market microstructure noise-variance estimation of high-frequency stock prices. Based on the Hansen and Lunde (2006) approach, we propose estimates using subsampling method at different time scales. We conduct a Monte Carlo study to compare our method against others in the literature. Our results show that our proposed estimates have lower (absolute) mean error and root mean-squared error, and their performance is quite stable at different time scales.

Keywords: Microstructure noise; Noise-to-signal ratio; Realized variance; High-frequency data (search for similar items in EconPapers)
JEL-codes: C41 G12 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:150:y:2017:i:c:p:59-62

DOI: 10.1016/j.econlet.2016.11.009

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