Estimation and Testing for Dependence in Market Microstructure Noise
Estimation and Testing for Dependence in Market Microstructure Noise
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DOI：
10.1093/jjfinec/nbn021
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发表时间：
2008-11
影响因子：
2.5
通讯作者：
M. Ubukata;K. Oya
中科院分区：
文献类型：
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作者：
M. Ubukata;K. Oya
本文对二元噪声过程的相依、互协方差和自协方差估计提出了新的检验统计量。它推导出它们的渐近分布，并提供协方差估计量的统计显著性的额外检验。Monte Carlo模拟表明，在有限样本下，协方差估计量和检验统计量表现得更好。进一步的实证证据表明，协方差估计和建议的检验统计量能够捕捉市场微观结构噪声的各种依赖模式。这些结果可以更多地揭示在存在买卖反弹和订单流聚集等市场微观结构摩擦的情况下噪声自相关的迹象。作者2009年。牛津大学出版社出版。All rights reserved.有关许可，请发送电子邮件至：journals.permissions@oxfordjournals.org。北京：清华大学出版社.
This paper proposes new test statistics for the dependence and cross and auto covariance estimators of bivariate noise processes. It derives their asymptotic distributions and provides additional tests for the statistical significance of covariance estimators. Monte Carlo simulation shows that the covariance estimators and test statistics perform better in a finite sample. Further evidence from empirical illustration suggests that the covariance estimators and proposed test statistics are capable of capturing various dependence patterns in market microstructure noise. These results can shed more light on the sign of noise autocorrelation in the presence of market microstructure frictions such as bid-ask bounces and the clustering of order flow. Copyright The Author 2009. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.