A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
Shin, Dong Wan, Hwang, EunjuVolume:
129
Language:
english
Journal:
Economics Letters
DOI:
10.1016/j.econlet.2015.02.013
Date:
April, 2015
File:
PDF, 357 KB
english, 2015