Correcting microstructure comovement biases for integrated covariance

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题名:	Correcting microstructure comovement biases for integrated covariance
作者:	Yeh,JH;Wang,JN
贡献者:	財務金融學系
关键词:	HIGH-FREQUENCY DATA;ECONOMETRIC-ANALYSIS;VOLATILITY;NOISE;LIQUIDITY
日期:	2010
上传时间:	2012-03-27 19:02:42 (UTC+8)
出版者:	國立中央大學
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 non-parametric covariance estimator to uncover the virtual integrated covariance. The estimator is easy to implement and performs admirably. (C) 2010 Elsevier Inc. All rights reserved.
關聯:	FINANCE RESEARCH LETTERS
显示于类别:	[財務金融學系] 期刊論文

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