A Hausman test for the presence of market microstructure noise in high frequency data

DOI10.1016/J.JECONOM.2018.12.013zbMATH Open1452.62873OpenAlexW3122810692WikidataQ128761274 ScholiaQ128761274MaRDI QIDQ2000858FDOQ2000858

Yacine Aït-Sahalia, Dacheng Xiu

Publication date: 1 July 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.12.013

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zbMATH Keywords

Hausman testrealized volatilityQMLEmarket microstructure noiselocal powerpre-averagingsuper-efficiencyTSRV

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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Cited In (16)

• High frequency market microstructure noise estimates and liquidity measures
• Local Parametric Estimation in High Frequency Data
• Annals issue in honor of Jerry A. Hausman. Editors' introduction
• Testing against constant factor loading matrix with large panel high-frequency data
• Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data
• 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
• Estimation of Leverage Effect: Kernel Function and Efficiency
• Optimal nonparametric range-based volatility estimation
• Tests for Jumps in Yield Spreads
• Cointegration in high frequency data
• Identifying latent factors based on high-frequency data
• Inference for local distributions at high sampling frequencies: a bootstrap approach
• High-frequency factor models and regressions

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