Estimation for high-frequency data under parametric market microstructure noise

@article{Clinet2020EstimationFH,
  title={Estimation for high-frequency data under parametric market microstructure noise},
  author={Simon Clinet and Yoann Potiron},
  journal={Annals of the Institute of Statistical Mathematics},
  year={2020}
}
We develop a general class of noise-robust estimators based on the existing estimators in the non-noisy high-frequency data literature. The microstructure noise is a parametric function of the limit order book. The noise-robust estimators are constructed as plug-in versions of their counterparts, where we replace the efficient price, which is non-observable, by an estimator based on the raw price and limit order book data. We show that the technology can be applied to five leading examples… 
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