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Assessing Market Microstructure Effects via Realized Volatility Measures with an Application to the Dow Jones Industrial Average Stocks

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  • Awartani, Basel
  • Corradi, Valentina
  • Distaso, Walter

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  • Awartani, Basel & Corradi, Valentina & Distaso, Walter, 2009. "Assessing Market Microstructure Effects via Realized Volatility Measures with an Application to the Dow Jones Industrial Average Stocks," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 251-265.
    • Handle: RePEc:bes:jnlbes:v:27:i:2:y:2009:p:251-265
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    Citations

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    Cited by:

    1. Degiannakis, Stavros & Floros, Christos, 2016. "Intra-day realized volatility for European and USA stock indices," Global Finance Journal, Elsevier, vol. 29(C), pages 24-41.
    2. Chen, Richard Y. & Mykland, Per A., 2017. "Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data," Journal of Econometrics, Elsevier, vol. 200(1), pages 79-103.
    3. Huong Le & Andros Gregoriou, 2020. "How Do You Capture Liquidity? A Review Of The Literature On Low‐Frequency Stock Liquidity," Journal of Economic Surveys, Wiley Blackwell, vol. 34(5), pages 1170-1186, December.
    4. Richard Y. Chen & Per A. Mykland, 2015. "Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data," Papers 1512.06159, arXiv.org, revised Oct 2018.
    5. Fang, Tong & Lee, Tae-Hwy & Su, Zhi, 2020. "Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 36-49.
    6. Ma, Feng & Wahab, M.I.M. & Zhang, Yaojie, 2019. "Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 132-146.
    7. Selma Chaker, 2013. "Volatility and Liquidity Costs," Staff Working Papers 13-29, Bank of Canada.
    8. Bandi, Federico & Corradi, Valentina & Moloche, Guillermo, 2009. "Bandwidth selection for continuous-time Markov processes," MPRA Paper 43682, University Library of Munich, Germany.
    9. Julien Chevallier & Benoît Sévi, 2011. "On the volatility-volume relationship in energy futures markets using intraday data," Working Papers hal-04140997, HAL.
    10. Tong Fang & Deyu Miao & Zhi Su & Libo Yin, 2023. "Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 872-904, July.
    11. Bandi, Federico M. & Russell, Jeffrey R., 2011. "Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations," Journal of Econometrics, Elsevier, vol. 160(1), pages 145-159, January.
    12. Bibinger, Markus, 2011. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," SFB 649 Discussion Papers 2011-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    13. Chevallier, Julien, 2013. "Variance risk-premia in CO2 markets," Economic Modelling, Elsevier, vol. 31(C), pages 598-605.
    14. Dong, Yingjie & Tse, Yiu-Kuen, 2017. "On estimating market microstructure noise variance," Economics Letters, Elsevier, vol. 150(C), pages 59-62.
    15. Yiqi Liu & Qiang Liu & Zhi Liu & Deng Ding, 2017. "Determining the integrated volatility via limit order books with multiple records," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1697-1714, November.
    16. Bibinger, Markus, 2012. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," Stochastic Processes and their Applications, Elsevier, vol. 122(6), pages 2411-2453.

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