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A ReMeDI for Microstructure Noise
ZM Li, O Linton
May 20, 2021
We introduce the Realized moMents of Disjoint Increments (ReMeDI) paradigm to measure microstructure noise (the deviation of the observed asset prices from the fundamental values caused by market imperfections). We...
Microstructure noise semimartingale serial dependence stable convergence mixing sequence infill asymptotics finite sample bias
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