Bootstrapping Realized Bipower Variation

DOI10.1007/978-1-4939-0569-0_9zbMath1331.62400OpenAlexW6363930MaRDI QIDQ2787360

Jens-Peter Kreiss, Gang Feng

Publication date: 25 February 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4939-0569-0_9

zbMATH Keywords

bootstrapnonparametric volatility estimationrealized bipower variation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric statistical resampling methods (62G09)

Cites Work

• Bootstrapping Realized Volatility
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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