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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| Property / Mathematics Subject Classification ID: 62P20 / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B25 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B84 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G70 / rank | |||
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| Property / zbMATH DE Number: 6489263 / rank | |||
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Lagrangian multiplier test | |||
| Property / zbMATH Keywords: Lagrangian multiplier test / rank | |||
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market microstructure noise | |||
| Property / zbMATH Keywords: market microstructure noise / rank | |||
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realized volatility | |||
| Property / zbMATH Keywords: realized volatility / rank | |||
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Revision as of 00:11, 1 July 2023
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 |
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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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Lagrangian multiplier test
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market microstructure noise
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realized volatility
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