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