A Hausman test for the presence of market microstructure noise in high frequency data
Year of publication: |
2019
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Authors: | Aït-Sahalia, Yacine ; Xiu, Dacheng |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 211.2019, 1, p. 176-205
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Subject: | Hausman test | Local power | Market microstructure noise | Pre-averaging | QMLE | Realized volatility | Super-efficiency | TSRV | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Schätztheorie | Estimation theory | Noise Trading | Noise trading |
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