Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058)
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| Language | Label | Description | Also known as |
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| English | Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading |
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Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (English)
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30 January 2017
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high-frequency data
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market microstructure noise
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non-synchronous data
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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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block bootstrap
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