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- Chen, Richard Y.; Mykland, Per A.
- Journal of econometrics 2017 v.200 no.1 pp. 79-103
- byproducts; econometric models; economic analysis; economic theory; edge effects; empirical research; risk; stock exchange; New York
- ... In this paper, we provide non-parametric statistical tools to test stationarity of microstructure noise in general hidden Itô semimartingales, and discuss how to measure liquidity risk using high-frequency financial data. In particular, we investigate the impact of non-stationary microstructure noise on some volatility estimators, and design three complementary tests by exploiting edge effects, in ...