A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA

DOI10.1017/S0266466618000129zbMath1428.62499OpenAlexW2801961925WikidataQ129926198 ScholiaQ129926198MaRDI QIDQ5378499

Ulrich Hounyo

Publication date: 31 May 2019

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

Full work available at URL: https://doi.org/10.1017/s0266466618000129

zbMATH Keywords

resamplingconsistent estimatorhigh-frequency datafirst-order asymptotic theorylocal Gaussian bootstraprealized multivariate volatilitysecond-order asymptotic refinement

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Nonparametric statistical resampling methods (62G09) Brownian motion (60J65)

Related Items (3)

Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment ⋮ Bootstrapping Laplace transforms of volatility ⋮ Inference for local distributions at high sampling frequencies: a bootstrap approach

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