A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities (Q500498): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: Publication / rank | |||
Normal rank | |||
Revision as of 01:28, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities |
scientific article |
Statements
A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities (English)
0 references
5 October 2015
0 references
Lagrangian multiplier test
0 references
market microstructure noise
0 references
realized volatility
0 references
