A Test for Dependence and Covariance Estimator of Market Microstructure Noise
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More about this item
Keywordstest statistic; market microstructure noise; time-dependence; nonsynchronous observations; high frequency data.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- D49 - Microeconomics - - Market Structure, Pricing, and Design - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-04-04 (All new papers)
- NEP-ECM-2008-04-04 (Econometrics)
- NEP-MST-2008-04-04 (Market Microstructure)
- NEP-ORE-2008-04-04 (Operations Research)
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