Person:
Yevstihnyeyev, Roman

Profile Picture

Email Address

AA Acceptance Date

Birth Date

Research Projects

Organizational Units

Job Title

Last Name

Yevstihnyeyev

First Name

Roman

Name

Yevstihnyeyev, Roman

Filters

20151

Settings

Author's Publications: search.filters.isAuthorOfPublication.5695032b-0334-4920-a630-095ba6f73419

Search Results

Now showing 1 - 1 of 1
  • No Thumbnail Available
    Publication
    Estimation of Asset Volatility and Correlation Over Market Microstructure Noise in High-Frequency Data
    (2015-04-08) Yevstihnyeyev, Roman
    Accurate measurement of asset return volatility and correlation is an important problem in financial econometrics. The presence of market microstructure noise in high-frequency data complicates such estimations. This study extends a prior application of a model-based volatility estimator with autocorrelated market microstructure noise to estimation of correlation. The model is applied to a high-frequency dataset including a stock and an index, and the results are compared to some existing models. This study supports previous findings that including an autocorrelation factor produces an estimator potentially less vulnerable to market microstructure noise, and finds that the same is true about the extended correlation estimator that is introduced here.