Stationary bootstrapping realized volatility under market microstructure noise (Q364198): Difference between revisions

@@ Property / cites work @@
+Ultra high frequency volatility estimation with dependent microstructure noise
+Normal rank
@@ Property / cites work @@
+Microstructure Noise, Realized Variance, and Optimal Sampling
+Normal rank
@@ Property / cites work @@
+LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
+Normal rank
@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+A new weak dependence condition and applications to moment inequalities
+Normal rank
@@ Property / cites work @@
+Bootstrapping realized multivariate volatility measures
+Normal rank
@@ Property / cites work @@
+Consistency of the stationary bootstrap under weak moment conditions
+Normal rank
@@ Property / cites work @@
+Bootstrapping Realized Volatility
@@ Property / cites work: Bootstrapping Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
+Normal rank
@@ Property / cites work @@
+Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model
+Normal rank
@@ Property / cites work @@
+Stationary bootstrap for kernel density estimators under \(\psi\)-weak dependence
+Normal rank
@@ Property / cites work @@
+Strong consistency of the stationary bootstrap under \(\psi\)-weak dependence
+Normal rank
@@ Property / cites work @@
+Asymptotic error distributions for the Euler method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
+Normal rank
@@ Property / cites work @@
+Estimating Pearson's correlation coefficient with bootstrap confidence interval from serially dependent time series
+Normal rank
@@ Property / cites work @@
+A note on the stationary bootstrap's variance
@@ Property / cites work: A note on the stationary bootstrap's variance / rank @@
+Normal rank
@@ Property / cites work @@
+Bias-corrected realized variance under dependent microstructure noise
+Normal rank
@@ Property / cites work @@
+Unit root testing via the stationary bootstrap
@@ Property / cites work: Unit root testing via the stationary bootstrap / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility Estimation Based on High-Frequency Data
+Normal rank
@@ Property / cites work @@
+The Stationary Bootstrap
@@ Property / cites work: The Stationary Bootstrap / rank @@
+Normal rank
@@ Property / cites work @@
+Stationary bootstrapping for cointegrating regressions
+Normal rank
@@ Property / cites work @@
+Bootstrapping unit root tests for integrated processes
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank