Bootstrapping Realized Volatility
From MaRDI portal
Publication:3627284
DOI10.3982/ECTA5971zbMath1160.91397OpenAlexW2101216171MaRDI QIDQ3627284
Nour Meddahi, Sílvia Gonçalves
Publication date: 18 May 2009
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta5971
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (49)
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS ⋮ Out of sample forecasts of quadratic variation ⋮ Bootstrap validity for the score test when instruments may be weak ⋮ A nonparametric test of a strong leverage hypothesis ⋮ Between data cleaning and inference: pre-averaging and robust estimators of the efficient price ⋮ Stationary bootstrapping realized volatility ⋮ Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment ⋮ Microstructure noise in the continuous case: the pre-averaging approach ⋮ Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity ⋮ Stationary bootstrapping realized volatility under market microstructure noise ⋮ Estimation of the realized (co-)volatility vector: large deviations approach ⋮ On high frequency estimation of the frictionless price: the use of observed liquidity variables ⋮ Integrated volatility and round-off error ⋮ Mixed-scale jump regressions with bootstrap inference ⋮ Bootstrapping Laplace transforms of volatility ⋮ BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE ⋮ Bootstrap method for misspecified ergodic Lévy driven stochastic differential equation models ⋮ The effect of intraday periodicity on realized volatility measures ⋮ A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA ⋮ Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise ⋮ A Gaussian calculus for inference from high frequency data ⋮ The local fractional bootstrap ⋮ Large deviations of realized volatility ⋮ A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities ⋮ Sequential Monte Carlo methods for stochastic volatility models: a review ⋮ Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading ⋮ A new microstructure noise index ⋮ Higher order properties of the wild bootstrap under misspecification ⋮ Bootstrapping realized multivariate volatility measures ⋮ Subsampling high frequency data ⋮ Data-based ranking of realised volatility estimators ⋮ Edgeworth corrections for spot volatility estimator ⋮ Bootstrapping Realized Bipower Variation ⋮ An Unbiased Measure of Integrated Volatility in the Frequency Domain ⋮ Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions ⋮ Exploiting the errors: a simple approach for improved volatility forecasting ⋮ Box-Cox transforms for realized volatility ⋮ Ultra high frequency volatility estimation with dependent microstructure noise ⋮ Edgeworth expansions for realized volatility and related estimators ⋮ Volatility forecast comparison using imperfect volatility proxies ⋮ Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading ⋮ A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation ⋮ Inference for local distributions at high sampling frequencies: a bootstrap approach ⋮ High frequency market microstructure noise estimates and liquidity measures ⋮ NONPARAMETRIC NONSTATIONARITY TESTS ⋮ Bootstrapping High-Frequency Jump Tests ⋮ Volatility Estimation and Jump Testing via Realized Information Variation ⋮ Integration of CARMA processes and spot volatility modelling ⋮ A bootstrap test for jumps in financial economics
This page was built for publication: Bootstrapping Realized Volatility
