A Hausman test for the presence of market microstructure noise in high frequency data
From MaRDI portal
Publication:2000858
Recommendations
- Model checks for the volatility under microstructure noise
- Testing for jumps in noisy high frequency data
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise
- High frequency market microstructure noise estimates and liquidity measures
Cites work
- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- scientific article; zbMATH DE number 6324332 (Why is no real title available?)
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A New Specification Test for the Validity of Instrumental Variables
- A Remark on Hausman's Specification Test
- A Tale of Two Time Scales
- ANOVA for diffusions and Itō processes
- Asymptotic properties of the Hahn-Hausman test for weak-instruments
- Data-based ranking of realised volatility estimators
- Diffusions with measurement errors. I. Local Asymptotic Normality
- Discretization of processes.
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- Inference for Continuous Semimartingales Observed at High Frequency
- Maximum Likelihood Estimation of Misspecified Models
- Microstructure noise in the continuous case: the pre-averaging approach
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Some useful equivalence properties of Hausman's test
- Specification Tests in Econometrics
- The Distribution of Realized Exchange Rate Volatility
- The Estimation of Economic Relationships using Instrumental Variables
- The J-test as a Hausman specification test
Cited in
(21)- High frequency market microstructure noise estimates and liquidity measures
- Local Parametric Estimation in High Frequency Data
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- Annals issue in honor of Jerry A. Hausman. Editors' introduction
- Model checks for the volatility under microstructure noise
- Testing against constant factor loading matrix with large panel high-frequency data
- On high frequency estimation of the frictionless price: the use of observed liquidity variables
- Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
- Bias-optimal vol-of-vol estimation: the role of window overlapping
- The observed asymptotic variance: hard edges, and a regression approach
- Cointegration in high frequency data
- Estimation of Leverage Effect: Kernel Function and Efficiency
- Optimal nonparametric range-based volatility estimation
- Tests for Jumps in Yield Spreads
- Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
- Identifying latent factors based on high-frequency data
- A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
- Inference for local distributions at high sampling frequencies: a bootstrap approach
- High-frequency factor models and regressions
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
This page was built for publication: A Hausman test for the presence of market microstructure noise in high frequency data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2000858)
