A ReMeDI for Microstructure Noise

• 成果类型: Article
• 署名作者: Li, Z. Merrick; Linton, Oliver
• 署名单位: Chinese University of Hong Kong; University of Cambridge
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA17505
• 发表日期: 2022
• 页码: 367-389
• 关键词: INTEGRATED VOLATILITY; autocorrelation; components; variance; BEHAVIOR; arrival; THEOREM; sample; jumps

摘要

We introduce the Realized moMents of Disjoint Increments (ReMeDI) paradigm to measure microstructure noise (the deviation of the observed asset prices from the fundamental values caused by market imperfections). We propose consistent estimators of arbitrary moments of the microstructure noise process based on high-frequency data, where the noise process could be serially dependent, endogenous, and nonstationary. We characterize the limit distributions of the proposed estimators and construct confidence intervals under infill asymptotics. Our simulation and empirical studies show that the ReMeDI approach is very effective to measure the scale and the serial dependence of microstructure noise. Moreover, the estimators are quite robust to model specifications, sample sizes, and data frequencies.