Supplementary Material for 'A ReMeDI for Microstructure Noise'

50 Pages Posted: 31 Jul 2019

See all articles by Z. Merrick Li

Z. Merrick Li

University of Cambridge

Oliver B. Linton

University of Cambridge

Date Written: July 15, 2019

Abstract

This note contains the supplements to Li and Linton (2019). Section A contains extensive simulation studies. Section B presents the methodology and a detailed numerical algorithm to select the tuning parameters. Section C presents additional empirical studies. Section D contains all mathematical proofs.

JEL Classification: C1, G1

Suggested Citation

Li, Z. Merrick and Linton, Oliver B., Supplementary Material for 'A ReMeDI for Microstructure Noise' (July 15, 2019). Available at SSRN: https://ssrn.com/abstract=3427750 or http://dx.doi.org/10.2139/ssrn.3427750

Z. Merrick Li (Contact Author)

University of Cambridge ( email )

Faculty of Economics
Cambridge, CB3 9DD
United Kingdom

Oliver B. Linton

University of Cambridge ( email )

Faculty of Economics
Cambridge, CB3 9DD
United Kingdom

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