Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model

Li, Yu-Ning orcid.org/0000-0003-1473-0146, Chen, Jia orcid.org/0000-0002-2791-2486 and Linton, Oliver (2026) Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model. Journal of Econometrics. 105382. ISSN: 0304-4076

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Item Type: Article
Authors/Creators:
Copyright, Publisher and Additional Information:

© 2023 Published by Elsevier B.V. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
Keywords: Cointegration, Factor model, High-frequency data, Microstructure noise, Non-stationarity
Dates:
  • Accepted: 24 December 2022
  • Published (online): 19 February 2026
  • Published: 1 March 2026
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Funding Information:
Funder
Grant number
ECONOMIC AND SOCIAL RESEARCH COUNCIL (ESRC)
ES/T01573X/1
Date Deposited: 04 Jan 2023 10:30
Last Modified: 01 Mar 2026 04:10
Published Version: https://doi.org/10.1016/j.jeconom.2022.12.005
Status: Published
Refereed: Yes
Identification Number: 10.1016/j.jeconom.2022.12.005
Open Archives Initiative ID (OAI ID):

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