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A Lagrangian multiplier test for
market
microstructure
noise
with applications to sampling interval determination for realized volatilities
Shin, Dong Wan
;
Hwang, Eunju
- In:
Economics Letters
129
(
2015
)
C
,
pp. 95-99
A Lagrangian multiplier test is proposed for testing
market
microstructure
noise
(MMN) in financial asset prices. The …
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