A Hausman test for the presence of market microstructure noise in high frequency data (Q2000858)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Hausman test for the presence of market microstructure noise in high frequency data |
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A Hausman test for the presence of market microstructure noise in high frequency data (English)
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1 July 2019
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Hausman test
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market microstructure noise
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realized volatility
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QMLE
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TSRV
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pre-averaging
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super-efficiency
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local power
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