A Hausman test for the presence of market microstructure noise in high frequency data
type: Item
instance of: scholarly article
title: A Hausman test for the presence of market microstructure noise in high frequency data
zbMATH Open document ID: 1452.62873
author: Yacine Aït-Sahalia
author: Dacheng Xiu
published in: Journal of Econometrics
publication date: 2019-07-01T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62F03
Mathematics Subject Classification ID: 62F05
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7075175
zbMATH Keywords: Hausman test
zbMATH Keywords: market microstructure noise
zbMATH Keywords: realized volatility
zbMATH Keywords: QMLE
zbMATH Keywords: TSRV
zbMATH Keywords: pre-averaging
zbMATH Keywords: super-efficiency
zbMATH Keywords: local power
MaRDI profile type: Publication
full work available at URL: j.jeconom.2018.12.013
OpenAlex ID: W3122810692
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Wikidata QID: Q128761274
DOI: 10.1016/J.JECONOM.2018.12.013
description: scientific article; zbMATH DE number 7075175