タイトル（掲載誌）Discussion Papers In Economics And Business
一般注記* Revised: Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise [07-03-Rev., 2007 ]
There are many approaches for estimating an integrated variance and covariance in thepresence of market microstructure noise. It is important to know a dependence of noise toconstruct the integrated variance and covariance estimators. We study a time dependence ofbivariate noise processes in this paper. We propose a test statistic for the dependence of thenoises and an autocovariance estimator of the noises and derive its asymptotic distribution.The asymptotic distribution of the autocovariance estimator provides us to another test statisticwhich is for significance of the autocovariances and for detection whether the noise exists ornot. We obtain good performances of the test statistics and autocovariance estimator of thenoises in a finite sample through Monte Carlo simulation. In empirical illustration, we confirmthat the proposed statistics and estimators capture various dependence patterns of the marketmicrostructure noises.
連携機関・データベース国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）