Matches in SemOpenAlex for { <https://semopenalex.org/work/W2054037460> ?p ?o ?g. }
Showing items 1 to 77 of
77
with 100 items per page.
- W2054037460 endingPage "99" @default.
- W2054037460 startingPage "95" @default.
- W2054037460 abstract "A Lagrangian multiplier test is proposed for testing market microstructure noise (MMN) in financial asset prices. The test is very simple and is asymptotically chi-squared with 1-degree of freedom. The test is applied to sampling interval determination for realized volatilities (RVs) which validates the commonly used “ad hoc rule of between 5 and 30 min” for sampling interval. The proposed test gives a statistical justification for RVs of negligible serial correlation in the log-returns owning to MMN for sampling interval larger than a selected one. A Monte Carlo experiment shows reasonable size and power performance of the test. The proposed test is illustrated for two real data sets." @default.
- W2054037460 created "2016-06-24" @default.
- W2054037460 creator A5050885102 @default.
- W2054037460 creator A5068103960 @default.
- W2054037460 date "2015-04-01" @default.
- W2054037460 modified "2023-10-17" @default.
- W2054037460 title "A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities" @default.
- W2054037460 cites W1998856889 @default.
- W2054037460 cites W2003332237 @default.
- W2054037460 cites W2040646026 @default.
- W2054037460 cites W2090059250 @default.
- W2054037460 cites W2101216171 @default.
- W2054037460 cites W2133334225 @default.
- W2054037460 cites W2157505837 @default.
- W2054037460 cites W2173200133 @default.
- W2054037460 cites W3095114851 @default.
- W2054037460 cites W3122281927 @default.
- W2054037460 cites W3124028486 @default.
- W2054037460 cites W2029427771 @default.
- W2054037460 doi "https://doi.org/10.1016/j.econlet.2015.02.013" @default.
- W2054037460 hasPublicationYear "2015" @default.
- W2054037460 type Work @default.
- W2054037460 sameAs 2054037460 @default.
- W2054037460 citedByCount "1" @default.
- W2054037460 countsByYear W20540374602023 @default.
- W2054037460 crossrefType "journal-article" @default.
- W2054037460 hasAuthorship W2054037460A5050885102 @default.
- W2054037460 hasAuthorship W2054037460A5068103960 @default.
- W2054037460 hasConcept C105795698 @default.
- W2054037460 hasConcept C106131492 @default.
- W2054037460 hasConcept C11413529 @default.
- W2054037460 hasConcept C114614502 @default.
- W2054037460 hasConcept C126255220 @default.
- W2054037460 hasConcept C140779682 @default.
- W2054037460 hasConcept C149782125 @default.
- W2054037460 hasConcept C19499675 @default.
- W2054037460 hasConcept C2778067643 @default.
- W2054037460 hasConcept C31972630 @default.
- W2054037460 hasConcept C33923547 @default.
- W2054037460 hasConcept C41008148 @default.
- W2054037460 hasConcept C44249647 @default.
- W2054037460 hasConcept C73684929 @default.
- W2054037460 hasConceptScore W2054037460C105795698 @default.
- W2054037460 hasConceptScore W2054037460C106131492 @default.
- W2054037460 hasConceptScore W2054037460C11413529 @default.
- W2054037460 hasConceptScore W2054037460C114614502 @default.
- W2054037460 hasConceptScore W2054037460C126255220 @default.
- W2054037460 hasConceptScore W2054037460C140779682 @default.
- W2054037460 hasConceptScore W2054037460C149782125 @default.
- W2054037460 hasConceptScore W2054037460C19499675 @default.
- W2054037460 hasConceptScore W2054037460C2778067643 @default.
- W2054037460 hasConceptScore W2054037460C31972630 @default.
- W2054037460 hasConceptScore W2054037460C33923547 @default.
- W2054037460 hasConceptScore W2054037460C41008148 @default.
- W2054037460 hasConceptScore W2054037460C44249647 @default.
- W2054037460 hasConceptScore W2054037460C73684929 @default.
- W2054037460 hasFunder F4320322120 @default.
- W2054037460 hasLocation W20540374601 @default.
- W2054037460 hasOpenAccess W2054037460 @default.
- W2054037460 hasPrimaryLocation W20540374601 @default.
- W2054037460 hasRelatedWork W1537421258 @default.
- W2054037460 hasRelatedWork W1974037654 @default.
- W2054037460 hasRelatedWork W1987515496 @default.
- W2054037460 hasRelatedWork W2020434732 @default.
- W2054037460 hasRelatedWork W2080289468 @default.
- W2054037460 hasRelatedWork W2196919569 @default.
- W2054037460 hasRelatedWork W2586722537 @default.
- W2054037460 hasRelatedWork W3089569738 @default.
- W2054037460 hasRelatedWork W3089795334 @default.
- W2054037460 hasRelatedWork W2089196643 @default.
- W2054037460 hasVolume "129" @default.
- W2054037460 isParatext "false" @default.
- W2054037460 isRetracted "false" @default.
- W2054037460 magId "2054037460" @default.
- W2054037460 workType "article" @default.