A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities (Q500498): Difference between revisions

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scientific article

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English	A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities	scientific article

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scholarly article

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title

A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities (English)

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5 October 2015

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zbMATH Keywords

Lagrangian multiplier test

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market microstructure noise

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realized volatility

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.econlet.2015.02.013

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cites work

Microstructure Noise, Realized Variance, and Optimal Sampling

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Realized volatility forecasting and option pricing

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Estimating stochastic volatility diffusion using conditional moments of integrated volatility

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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets

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Bootstrapping Realized Volatility

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Stationary bootstrapping realized volatility

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A bootstrap test for jumps in financial economics

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Realized Volatility: A Review

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A Tale of Two Time Scales

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Identifiers

zbMATH Open document ID

1321.62147

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Mathematics Subject Classification ID

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10.1016/J.ECONLET.2015.02.013

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Sitelinks

Mathematics(1 entry)

mardi Publication:500498

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-.1016/j.econlet.2015.02.013
@@ Property / DOI: 10.1016/j.econlet.2015.02.013 / rank @@
-Normal rank
@@ Property / author @@
+Eun-Ju Hwang
@@ Property / author: Eun-Ju Hwang / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.econlet.2015.02.013
+Normal rank
@@ Property / OpenAlex ID @@
+W2054037460
@@ Property / OpenAlex ID: W2054037460 / rank @@
+Normal rank
@@ Property / cites work @@
+Microstructure Noise, Realized Variance, and Optimal Sampling
+Normal rank
@@ Property / cites work @@
+Realized volatility forecasting and option pricing
+Normal rank
@@ Property / cites work @@
+Estimating stochastic volatility diffusion using conditional moments of integrated volatility
+Normal rank
@@ Property / cites work @@
+The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
+Normal rank
@@ Property / cites work @@
+Bootstrapping Realized Volatility
@@ Property / cites work: Bootstrapping Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Stationary bootstrapping realized volatility
@@ Property / cites work: Stationary bootstrapping realized volatility / rank @@
+Normal rank
@@ Property / cites work @@
+A bootstrap test for jumps in financial economics
@@ Property / cites work: A bootstrap test for jumps in financial economics / rank @@
+Normal rank
@@ Property / cites work @@
+Realized Volatility: A Review
@@ Property / cites work: Realized Volatility: A Review / rank @@
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.ECONLET.2015.02.013
@@ Property / DOI: 10.1016/J.ECONLET.2015.02.013 / rank @@
+Normal rank