BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE

DOI10.1017/S0266466616000281zbMath1441.62742OpenAlexW2172085775MaRDI QIDQ5357388

Ulrich Hounyo, Sílvia Gonçalves, Nour Meddahi

Publication date: 15 September 2017

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466616000281

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09)

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