Separating Microstructure Noise from Volatility

By F. Bandi, Jeffrey R. Russell. 2006

629 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e6d420e9f1108e2f925d8e760552d1f40c2fc459

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Citations in the corpus

Rough volatility of Bitcoin (2019, methodology): “Here, we use a moderate 5-min sampling frequency to avoid strong bias at high-frequency by maintaining reasonable accuracy(Bandi and Russell, 2006; Liu et al., 2015).”
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? (2011, positive): “can be a biased and inconsistent estimator for quadratic variation (Bandi and Russell, 2008; Zhang et al., 2005). Therefore, we consider several adjustments to our estimates and gauge their statistical performance in our model comparisons.5 Hansen and Lunde (2006) suggest the use of Bartlett weights”
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010, background): “Prominent examples include Bates (1996), (2000), (2003), Chernov and Ghysels (2000), Jackwerth (2000), Pan (2002), Jones (2003), Eraker (2004), A?t-Sahalia and Kimmel (2007), Broadie, Chernov, and Johannes (2007), and Carr and Wu (2008).”
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency (2011, background): “Related work include Bandi and Russell (2006), Delattre and Jacod (1997), Fan andWang (2007), Gatheral and Oomen (2010), Hansen and Lunde (2006), Kalnina and Linton (2008), Li and Mykland (2007), Aı̈t-Sahalia et al. (2011) and Li et al. (2010).”
Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (2011, methodology): “Bandi and Russell (2006b) have emphasized the importance of economic metrics to evaluate methods intended to "purge" high-frequency variance measures of their market microstructure noise contaminations.”
Realized range-based estimation of integrated variance (2007, positive): “With noisy prices, RV is both biased and inconsistent, see, e.g., Zhou (1996), Bandi & Russell (2005, 2006), or Hansen & Lunde (2006).”
Effects of Central Bank Intervention on the Interbank Market During the Subprime Crisis (2011, positive): “For optimal sampling frequency, we use both volatility signature plots (Andersen, Bollerslev, Diebold, and Labys 1999) and the procedure in Bandi and Russell (2006), to minimize the effect of microstructure noise.”
Does herding affect volatility? Implications for the Spanish stock market (2012, background): “Following Bandi and Russell (2006), if asset prices can be written as the sum of efficient prices and a noise component that is induced by microstructure frictions, the variance of returns depends on the variance of the underlying efficient returns and the variance of the microstructure noise compon”
Exploiting the errors: A simple approach for improved volatility forecasting (2016, methodology): “, Bandi and Russell (2008). To this end, we consider estimating RQ based on coarser 15-minute returns.”
Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach (2008, positive): “For instance, Bandi and Russell (2006) propose RV ∗N/(2N) as a consistent estimator of the noise variance.”
Data-based ranking of realised volatility estimators (2011, methodology): “Ha : 6= 0 The following proposition provides conditions under which a feasible form of the above regression: L (Yt;Xt) = Zt 1 + et (10) provides consistent estimates of the parameter in the infeasible regression.”
Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures (2006, background): “…Pigorsch and Tauchen (2005), Huang and Tauchen (2005), and Tauchen and Zhou (2005), while the issue of the effect of microstructure noise on estimators of volatility has been analysed by Aït-Sahalia, Mykland and Zhang (2005a,b), Bandi and Russell (2006), and Zhang, Mykland and Aït-Sahalia (2005).”
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (2017, positive): “As consistent with, e.g, Bandi and Russell (2006); Kalnina and Linton (2008), the second moment of the noise is allowed to be heteroskedastic and exhibit diurnal variation.”