A local Gaussian bootstrap method for realized volatility and realized beta
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consistent estimatorfirst-order asymptotic theoryhigh-frequency datalocal Gaussian bootstraprealized multivariate volatilityresamplingsecond-order asymptotic refinement
Brownian motion (60J65) Nonparametric statistical resampling methods (62G09) 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)
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Cites work
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
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Cited in
(6)- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Inference for local distributions at high sampling frequencies: a bootstrap approach
- Bootstrapping Realized Volatility
- The local fractional bootstrap
- Bootstrapping realized multivariate volatility measures
- Bootstrapping Laplace transforms of volatility
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