000			02730cam a22003737 4500
001			w16469
003			NBER
005			20211020111044.0
006			m o d
007			cr cnu||||||||
008			210910s2010 mau fo 000 0 eng d
100	1		_aDiebold, Francis X.
245	1	0	_aOn the Correlation Structure of Microstructure Noise: _bA Financial Economic Approach / _cFrancis X. Diebold, Georg Strasser.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2010.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w16469
500			_aOctober 2010.
520	3		_aWe introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation at zero displacement is typically negative, and cross-correlations at nonzero displacements are positive and decay geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are useful for assessing the validity of the frequently-assumed independence of latent price and microstructure noise, for explaining observed cross-correlation patterns, for predicting as-yet undiscovered patterns, and for making informed conjectures regarding improved volatility estimation methods.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aC51 - Model Construction and Estimation _2Journal of Economic Literature class.
690		7	_aD82 - Asymmetric and Private Information • Mechanism Design _2Journal of Economic Literature class.
690		7	_aD83 - Search • Learning • Information and Knowledge • Communication • Belief • Unawareness _2Journal of Economic Literature class.
690		7	_aG14 - Information and Market Efficiency • Event Studies • Insider Trading _2Journal of Economic Literature class.
690		7	_aG20 - General _2Journal of Economic Literature class.
700	1		_aStrasser, Georg.
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w16469.
856	4	0	_uhttps://www.nber.org/papers/w16469
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w16469
942			_2ddc _cW-PAPER
999			_c331654 _d290216