Heteroscedasticity test of high-frequency data with jumps and market microstructure noise

DOI10.1002/ASMB.2669MaRDI QIDQ6580713zbMATH OpenFDO

Authors Qiang Liu, Zhi Liu, Chuanhai Zhang

Publication date 29 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2669

zbMATH Keywords

heteroscedasticityhigh-frequency datajumpsmarket microstructure noisenonparametric test

Mathematics Subject Classification ID

Statistics (62-XX)

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