Supplementary Material for 'A ReMeDI for Microstructure Noise'
50 Pages Posted: 31 Jul 2019
Date Written: July 15, 2019
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: Suggested Citation