کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096607 1376537 2012 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Jumps in equilibrium prices and market microstructure noise
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Jumps in equilibrium prices and market microstructure noise
چکیده انگلیسی
Asset prices observed in financial markets combine equilibrium prices and market microstructure noise. In this paper, we study how to tell apart large shifts in equilibrium prices from noise using high frequency data. We propose a new nonparametric test which allows us to asymptotically remove the noise from observable price data and to discover jumps in fundamental asset values. We provide its asymptotic distribution to decide when such jumps occur. In finite samples, our test offers reasonable power for distinguishing between noise and jumps. Empirical evidence indicates that it is necessary to incorporate the presence of jumps in equilibrium prices.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 168, Issue 2, June 2012, Pages 396-406
نویسندگان
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