154 citations · 328 across the 8 of their papers we have counts for
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q-fin.ST2015★ 11 cited
Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data
Richard Y. Chen, Per A. Mykland
In this paper, we provide non-parametric statistical tools to test stationarity of microstructure noise in general hidden Ito semimartingales, and discuss how to measure liquidity…
q-fin.ST2015★ 22 cited
Estimation of integrated quadratic covariation with endogenous sampling times
Yoann Potiron, Per Mykland
When estimating high-frequency covariance (quadratic covariation) of two arbitrary assets observed asynchronously, simple assumptions, such as independence, are usually imposed on…