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Contribution to Book
Noise Reduced Realized Volatility: A Kalman Filter Approach
Advances in Econometrics (2006)
  • Douglas G Steigerwald, University of California, Santa Barbara
  • John Owens
Abstract
How should one remove microstructure noise from high-frequency asset prices? We show how to use the Kalman filter to efficiently remove microstructure noise.
Keywords
  • asset price volatility,
  • high-frequency,
  • microstructure noise
Publication Date
2006
Editor
Tom Fomby and Dek Terrell
Publisher
Elsevier
Citation Information
Douglas G Steigerwald and John Owens. "Noise Reduced Realized Volatility: A Kalman Filter Approach" Advances in Econometrics Vol. 20 (2006)
Available at: http://works.bepress.com/douglas_steigerwald/20/