Abstract

Abstract We provide a unified framework to understand current advances in two important fields in empirical finance: volatility estimation by virtue of microstructure noise-contaminated asset price data and transaction cost evaluation. In this framework, we review recently-proposed identification procedures relying on the unique possibilities furnished by asset price data sampled at high frequency. While discussing these procedures, we offer our perspective on the existing methods and findings, as well as on directions for future work.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call