Inference for local distributions at high sampling frequencies: a bootstrap approach
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Publication:2295798
DOI10.1016/j.jeconom.2019.09.001zbMath1456.62249OpenAlexW2916814020MaRDI QIDQ2295798
Ulrich Hounyo, Rasmus T. Varneskov
Publication date: 17 February 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/126408728/rp18_16.pdf
stable processeshigh-frequency dataKolmogorov-Smirnov testbootstrap inferenceItô semimartingalesvon-Mises statistics
Nonparametric hypothesis testing (62G10) 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)
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