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- W2891480192 abstract "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. We derive model-based volatility estimators, which we apply to stock and oil prices. 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 microstructure-based volatil- ity estimation." @default.
- W2891480192 created "2018-09-27" @default.
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- W2891480192 date "2010-10-01" @default.
- W2891480192 modified "2023-09-27" @default.
- W2891480192 title "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach" @default.
- W2891480192 doi "https://doi.org/10.3386/w16469" @default.
- W2891480192 hasPublicationYear "2010" @default.
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