Pages that link to "Item:Q2000858"

The following pages link to A Hausman test for the presence of market microstructure noise in high frequency data (Q2000858):

Displaying 20 items.

• A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities (Q500498) (← links)
• High frequency market microstructure noise estimates and liquidity measures (Q1018630) (← links)
• Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
• Testing against constant factor loading matrix with large panel high-frequency data (Q1753061) (← links)
• Annals issue in honor of Jerry A. Hausman. Editors' introduction (Q2000840) (← links)
• Cointegration in high frequency data (Q2044337) (← links)
• Bias-optimal vol-of-vol estimation: the role of window overlapping (Q2145695) (← links)
• Inference for local distributions at high sampling frequencies: a bootstrap approach (Q2295798) (← links)
• High-frequency factor models and regressions (Q2305976) (← links)
• Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
• On high frequency estimation of the frictionless price: the use of observed liquidity variables (Q2405909) (← links)
• The observed asymptotic variance: hard edges, and a regression approach (Q2658793) (← links)
• Identifying latent factors based on high-frequency data (Q2688663) (← links)
• Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
• Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data (Q5861006) (← links)
• From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution (Q6158406) (← links)
• Estimation of Leverage Effect: Kernel Function and Efficiency (Q6190703) (← links)
• Optimal nonparametric range-based volatility estimation (Q6193007) (← links)
• Tests for Jumps in Yield Spreads (Q6626261) (← links)
• Local Parametric Estimation in High Frequency Data (Q6626343) (← links)