テクニカルレポート

ディスカッション／ワーキング・ペーパー

text

Discussion Papers In Economics And Business. 2008, 07-03-Rev.2

A Test for Dependence and Covariance Estimator of Market Microstructure Noise

Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University

英語

text

2008-03

http://www2.econ.osaka-u.ac.jp/library/global/dp/0703R2.pdf

* Revised: Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise [07-03-Rev., 2007 ]

There are many approaches for estimating an integrated variance and covariance in thepresence of market microstructure noise. It is important to know a dependence of noise toconstruct the integrated variance and covariance estimators. We study a time dependence ofbivariate noise processes in this paper. We propose a test statistic for the dependence of thenoises and an autocovariance estimator of the noises and derive its asymptotic distribution.The asymptotic distribution of the autocovariance estimator provides us to another test statisticwhich is for significance of the autocovariances and for detection whether the noise exists ornot. We obtain good performances of the test statistics and autocovariance estimator of thenoises in a finite sample through Monte Carlo simulation. In empirical illustration, we confirmthat the proposed statistics and estimators capture various dependence patterns of the marketmicrostructure noises.

13614

A Test for Dependence and Covariance Estimator of Market Microstructure Noise

Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University

英語

2008-03

Discussion Papers In Economics And Business

07-03-Rev.2

https://hdl.handle.net/11094/13614

http://www2.econ.osaka-u.ac.jp/library/global/dp/0703R2.pdf