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

Dong Wan Shin, Eunju Hwang

Year of publication:	April 2015
Authors:	Shin, Dong-wan ; Hwang, Eunju
Published in:	Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 129.2015, p. 95-99
Subject:	Lagrangian multiplier test \| Market microstructure noise \| Realized volatility \| Volatilität \| Volatility \| Marktmikrostruktur \| Market microstructure \| Schätztheorie \| Estimation theory \| Noise Trading \| Noise trading \| Stichprobenerhebung \| Sampling \| Multiplikator \| Multiplier \| Zeitreihenanalyse \| Time series analysis

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