Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
type: Item
instance of: scholarly article
title: Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
zbMATH Open document ID: 1443.62355
author: Ulrich Hounyo
published in: Journal of Econometrics
publication date: 2017-01-30T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6678882
zbMATH Keywords: high-frequency data
zbMATH Keywords: market microstructure noise
zbMATH Keywords: non-synchronous data
zbMATH Keywords: jumps
zbMATH Keywords: realized measures
zbMATH Keywords: integrated covariance
zbMATH Keywords: wild bootstrap
zbMATH Keywords: block bootstrap
MaRDI profile type: Publication
full work available at URL: j.jeconom.2016.11.002
OpenAlex ID: W2558243094
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DOI: 10.1016/J.JECONOM.2016.11.002
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