Bootstrapping realized multivariate volatility measures

DOI10.1016/j.jeconom.2012.08.003zbMath1443.62344OpenAlexW2118294523MaRDI QIDQ528117

Nour Meddahi, Sílvia Gonçalves, Prosper Dovonon

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://publications.ut-capitole.fr/14995/1/DGM1_290710.pdf

zbMATH Keywords

bootstrapEdgeworth expansionsrealized correlationrealized betarealized regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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