Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
DOI10.1016/j.jeconom.2017.10.001zbMath1394.62143OpenAlexW2767189757MaRDI QIDQ1652951
Publication date: 17 July 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.10.001
high frequency datamarket microstructure noisestationary bootstrapnon-synchronous tradingrealized covariationstwo-time scale estimator
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09)
Related Items (2)
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