MARC Record from Library of Congress

LEADER: 02090cam a22002897a 4500
001 2011655669
003 DLC
005 20110309085331.0
007 cr |||||||||||
008 110308s2010 mau sb 000 0 eng
010 $a 2011655669
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aDiebold, Francis X.,$d1959-
245 10 $aOn the correlation structure of microstructure noise$h[electronic resource] :$ba financial economic approach /$cFrancis X. Diebold, Georg Strasser.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2010.
490 1 $aNBER working paper series ;$vworking paper 16469
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 3/8/2011.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"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. 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 making informed conjectures regarding improved volatility estimation methods"--National Bureau of Economic Research web site.
700 1 $aStrasser, Georg.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 16469.
856 40 $uhttp://www.nber.org/papers/w16469