Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058): Difference between revisions

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@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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+6678882
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+high-frequency data
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+market microstructure noise
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+non-synchronous data
@@ Property / zbMATH Keywords: non-synchronous data / rank @@
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+jumps
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+realized measures
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+integrated covariance
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+wild bootstrap
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+https://doi.org/10.1016/j.jeconom.2016.11.002
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+W2558243094
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@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
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+Publication:506058