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

DOI10.1002/asmb.2669MaRDI QIDQ6580713

Chuanhai Zhang, Qiang Liu, Zhi Liu

Publication date: 29 July 2024

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

zbMATH Keywords

jumpsheteroscedasticityhigh-frequency datamarket microstructure noisenonparametric test

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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