| 研究実績の概要 |
In the past year, I have finished two projects called Testing if the market microstructure noise is a function of the limit order book and Efficient Estimation for high-frequency data under parametric market microstructure noise, with my coworker Simon Clinet from the Faculty of Economics in Keio University. The first project is already in Revise and Resubmit for Journal of Econometrics, whereas the second project has only been submitted. I have also reviewed one previous paper which is now in minor revision for Journal of Econometrics called Asymptotic Variance Reduction when Estimating Volatility in High Frequency Data.
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