Assessing Market Microstructure Effects via Realized Volatility Measures with an Application to the Dow Jones Industrial Average Stocks
通过已实现波动率度量评估市场微观结构效应：道琼斯工业平均指数成分股应用
Transaction prices of financial assets are contaminated by market microstructure effects. This is particularly relevant when estimating volatility using high frequency data. In this article, we assess statistically the effect of microstructure noise on volatility estimators, and test the hypothesis that its variance is independent of the sampling frequency. We provide evidence based on the Dow Jones Industrial Average stocks. We find that noise has a statistically…