Statistical Properties of Covariance Estimator of Microstructure Noise: Dependence, Rare Jumps and Endogeneity

Masato Ubukata and Kosuke Oya
Additional contact information
Masato Ubukata: Graduate School of Economics, Osaka University, Japan
Kosuke Oya: Graduate School of Economics, Osaka University, Japan

Chapter 11 in Recent Advances in Financial Engineering, 2009, pp 201-218 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis paper studies impacts of rare jumps as well as an endogenous microstructure noise on Ubukata and Oya's [16] cross and auto covariance estimators of bivariate microstructure noise processes. The theoretical results show that biases of the noise covariance estimators are asymptotically negligible even when there exist the jump component and the endogeneity in the observed price process. Monte Carlo results are suggestive of robustness of the noise covariance estimators to the jumps and the endogenous noise with an empirically reasonable magnitude of the correlation in finite sample.

Keywords: Financial Engineering; Mathematical Finance; Real Options; Credit Risk; Option Pricing; Transaction Cost; Market Microstructure (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814273473_0011 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814273473_0011 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814273473_0011

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().