Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 신동완 | * |
dc.date.accessioned | 2016-08-27T04:08:21Z | - |
dc.date.available | 2016-08-27T04:08:21Z | - |
dc.date.issued | 2015 | * |
dc.identifier.issn | 0165-1765 | * |
dc.identifier.issn | 1873-7374 | * |
dc.identifier.other | OAK-14769 | * |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/217122 | - |
dc.description.abstract | A Lagrangian multiplier test is proposed for testing market microstructure noise (MMN) in financial asset prices. The test is very simple and is asymptotically chi-squared with 1-degree of freedom. The test is applied to sampling interval determination for realized volatilities (RVs) which validates the commonly used "ad hoc rule of between 5 and 30 min" for sampling interval. The proposed test gives a statistical justification for RVs of negligible serial correlation in the log-returns owning to MMN for sampling interval larger than a selected one. A Monte Carlo experiment shows reasonable size and power performance of the test. The proposed test is illustrated for two real data sets. (C) 2015 Elsevier B.V. All rights reserved. | * |
dc.language | English | * |
dc.publisher | ELSEVIER SCIENCE SA | * |
dc.subject | Lagrangian multiplier test | * |
dc.subject | Market microstructure noise | * |
dc.subject | Realized volatility | * |
dc.title | A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities | * |
dc.type | Article | * |
dc.relation.volume | 129 | * |
dc.relation.index | SSCI | * |
dc.relation.index | SCOPUS | * |
dc.relation.startpage | 95 | * |
dc.relation.lastpage | 99 | * |
dc.relation.journaltitle | ECONOMICS LETTERS | * |
dc.identifier.doi | 10.1016/j.econlet.2015.02.013 | * |
dc.identifier.wosid | WOS:000352673100024 | * |
dc.author.google | Shin, Dong Wan | * |
dc.author.google | Hwang, Eunju | * |
dc.contributor.scopusid | 신동완(7403352539) | * |
dc.date.modifydate | 20240116115756 | * |