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

DOI10.1016/j.econlet.2015.02.013zbMath1321.62147OpenAlexW2054037460MaRDI QIDQ500498

Dong Wan Shin, Eun-Ju Hwang

Publication date: 5 October 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.02.013

zbMATH Keywords

market microstructure noiserealized volatilityLagrangian multiplier test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Cites Work

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