| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16469 |
| 来源ID | Working Paper 16469 |
| On the Correlation Structure of Microstructure Noise: A Financial Economic Approach | |
| Francis X. Diebold; Georg Strasser | |
| 发表日期 | 2010-10-14 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation at zero displacement is typically negative, and cross-correlations at nonzero displacements are positive and decay geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are useful for assessing the validity of the frequently-assumed independence of latent price and microstructure noise, for explaining observed cross-correlation patterns, for predicting as-yet undiscovered patterns, and for making informed conjectures regarding improved volatility estimation methods. |
| 主题 | Econometrics ; Estimation Methods ; Microeconomics ; Economics of Information ; Financial Economics ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w16469 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574143 |
| 推荐引用方式 GB/T 7714 | Francis X. Diebold,Georg Strasser. On the Correlation Structure of Microstructure Noise: A Financial Economic Approach. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16469.pdf（789KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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