Contribution to Book
Noise Reduced Realized Volatility: A Kalman Filter ApproachAdvances in Econometrics (2006)
AbstractHow should one remove microstructure noise from high-frequency asset prices? We show how to use the Kalman filter to efficiently remove microstructure noise.
- asset price volatility,
- microstructure noise
EditorTom Fomby and Dek Terrell
Citation InformationDouglas 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/