Jumps in equilibrium prices and market microstructure noise
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Publication:527958
DOI10.1016/j.jeconom.2012.03.001zbMath1443.62360OpenAlexW3121180878MaRDI QIDQ527958
Suzanne S. Lee, Per Aslak Mykland
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000711
Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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