Realized Variance and Market Microstructure Noise

By P. R. Hansen, Asger Lunde. 2006

1,242 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3984ca6ccf78ec948f368f4585eb0ee7bc3f0863

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Citations in the corpus

Forecasting Volatility Using High-Frequency Data (2011, methodology): “Specific models for U have been suggested in this context by, for example, Zhou (1996), Hansen and Lunde (2006), Li and Mykland (2007) and Diebold and Strasser (2008).”
Realized kernels in practice: trades and quotes (2009, methodology): “Comment of Hansen and Lunde (2006).”
Realised quantile-based estimation of the integrated variance (2010, methodology): “Note that the noise is normalized with respect to the IV, and that the so-called noise ratio γ (see Oomen, 2006b) has a natural interpretation in relation to the bias of the RV, as E(RV ) = IV(1+2γ 2).”
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence (2014, methodology): “On the other hand, however, Hansen and Lunde (2006) reported evidence for an endogeneity with dependence between noise and efficient price and it is of interest that estimators are robust in that case.”
News - Good or Bad - and its Impact on Volatility Predictions over Multiple Horizons (2011, background): “suggested. See for example A¨ot-Sahalia, Mykland, and Zhang (2005), Bandi and Russell (2006), Bandi and Russell (2005), Barndorff-Nielsen, Hansen, Lunde, and Shephard (2009) and Hansen and Lunde (2006) .”
Optimal combinations of realised volatility estimators (2009, methodology): “Diebold, and Labys (2001a, 2003), A¨ it-Sahalia, Mykland, and Zhang (2005), Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008, in press), Barndorff-Nielsen and Shephard (2002, 2004, 2006), Christensen and Podolskij (2007), Bandi and Russell (2006, 2008), Christensen, Oomen, and Podolskij (2008), ”
Edgeworth Expansions for Realized Volatility and Related Estimators (2011, result): “Note that under our assumption, Var( ) = O(τ2 n), so the assumption is similar to the small-sigma asymptotics which goes back to Kadane (1971). Finally, while in our case this is a way of setting up asymptotics, there is empirical work on whether the noise decreases with n; see, in particular, Awart”
MIDAS Regressions: Further Results and New Directions (2007, methodology): “, Harris (1990) (1990), Harris (1991)); (2) asymmetries in information (see e.”
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements (2009, methodology): “Following Hansen et al. (2005), we implement the MCS procedure using the stationary block bootstrap of Politis and Romano (1994) with an average block length of 20 days and we choose the squared forecast error for the loss function L.”
Integer-valued Lévy processes and low latency financial econometrics (2012, background): “On the left are the correlograms and they show the usual small amount of negative autocorrelation due to market microstructure effects (e.g. Hansen and Lunde (2006) and references therein).”
Realized range-based estimation of integrated variance (2007, positive): “This invalidates the asymptotic theory, and RV is known to be inconsistent in the presence of noise (e.g., Bandi & Russell (2005, 2006) or Hansen & Lunde (2006)).”
Variation, jumps, market frictions and high frequency data in financial econometrics (2005, positive): “(40) This was proposed by Zhou (1996) and studied in detail by Hansen and Lunde (2006).”
Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures (2006, background): “Recently, Hansen and Lunde (2005) have addressed the issue of time dependence in the microstructure noise, while Awartani, Corradi and Distaso (2005) allow for correlation between the underlying price and the market microstructure noise. c© 2006 The Review of Economic Studies Limited four…”
Covariance measurement in the presence of non-synchronous trading and market microstructure noise (2011, neutral): “Following Hansen and Lunde (2006), we only consider data for the main NYSE market during the time interval 9.”
Microstructure Noise, Realized Variance, and Optimal Sampling (2008, methodology): “…can be a substantial component of the MSE and bias-correcting the realized variance estimator might be very bene…cial in practise (see Zhou (1996), Hansen and Lunde (2006), and Oomen (2005) for important, alternative approaches to bias-correcting in the context of integrated variance estimation).”