On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
从金融经济学角度推导了潜在收益与微观结构噪声的互相关函数，提出理论启发的波动率估计量，并应用于股票和石油价格数据，有助于检验常见独立性假设并改进实证研究。
We introduce the financial economics of market microstructure to the financial econometrics of asset return volatility estimation. In particular, we derive the cross-correlation function between latent returns and market microstructure noise in several leading microstructure environments. We propose and illustrate several corresponding theory-inspired volatility estimators, which we apply to stock and oil prices. Our analysis and results are useful for assessing the validity of the frequently assumed independence of latent price and microstructure noise, for explaining observed cross-correlation patterns, for predicting as-yet undiscovered patterns, and most importantly, for promoting improved microstructure-based volatility empirics and improved empirical microstructure studies. Simultaneously and conversely, our analysis is far from the last word on the subject, as it is based on stylized benchmark models; it comes with a "call to action" for development and use of richer microstructure models in volatility estimation and beyond. Copyright 2013, Oxford University Press.