A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
DC Field | Value | Language |
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dc.contributor.author | Shin, Dong Wan | - |
dc.contributor.author | Hwang, Eunju | - |
dc.date.available | 2020-02-28T09:45:45Z | - |
dc.date.created | 2020-02-06 | - |
dc.date.issued | 2015-04 | - |
dc.identifier.issn | 0165-1765 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/10661 | - |
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 | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE SA | - |
dc.relation.isPartOf | ECONOMICS LETTERS | - |
dc.subject | INTEGRATED VOLATILITY | - |
dc.subject | VARIANCE | - |
dc.subject | JUMPS | - |
dc.title | A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000352673100024 | - |
dc.identifier.doi | 10.1016/j.econlet.2015.02.013 | - |
dc.identifier.bibliographicCitation | ECONOMICS LETTERS, v.129, pp.95 - 99 | - |
dc.identifier.scopusid | 2-s2.0-84924198119 | - |
dc.citation.endPage | 99 | - |
dc.citation.startPage | 95 | - |
dc.citation.title | ECONOMICS LETTERS | - |
dc.citation.volume | 129 | - |
dc.contributor.affiliatedAuthor | Hwang, Eunju | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | Lagrangian multiplier test | - |
dc.subject.keywordAuthor | Market microstructure noise | - |
dc.subject.keywordAuthor | Realized volatility | - |
dc.subject.keywordPlus | INTEGRATED VOLATILITY | - |
dc.subject.keywordPlus | VARIANCE | - |
dc.subject.keywordPlus | JUMPS | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
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