Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
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Publication:506058
DOI10.1016/j.jeconom.2016.11.002zbMath1443.62355OpenAlexW2558243094MaRDI QIDQ506058
Publication date: 30 January 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.11.002
jumpshigh-frequency datablock bootstrapmarket microstructure noisewild bootstrapintegrated covariancenon-synchronous datarealized measures
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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