Bootstrapping Realized Volatility
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(58)- High frequency market microstructure noise estimates and liquidity measures
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- Mixed-scale jump regressions with bootstrap inference
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- Edgeworth corrections for spot volatility estimator
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
- A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
- Inference for local distributions at high sampling frequencies: a bootstrap approach
- A bootstrap test for jumps in financial economics
- Microstructure noise in the continuous case: the pre-averaging approach
- Estimation of the realized (co-)volatility vector: large deviations approach
- On high frequency estimation of the frictionless price: the use of observed liquidity variables
- A nonparametric test of a strong leverage hypothesis
- Stationary bootstrapping realized volatility
- The effect of intraday periodicity on realized volatility measures
- Volatility estimation and bootstrap
- Bootstrapping realized bipower variation
- An unbiased measure of integrated volatility in the frequency domain
- Integration of CARMA processes and spot volatility modelling
- Out of sample forecasts of quadratic variation
- Sequential Monte Carlo methods for stochastic volatility models: a review
- A new microstructure noise index
- Bootstrap validity for the score test when instruments may be weak
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Edgeworth Corrections for Realized Volatility
- Stationary bootstrapping realized volatility under market microstructure noise
- The fixed volatility bootstrap for a class of \(\mathrm{ARCH}(q)\) models
- The local fractional bootstrap
- A Gaussian calculus for inference from high frequency data
- Nonparametric nonstationarity tests
- A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- Bootstrapping high-frequency jump tests
- Volatility estimation and jump testing via realized information variation
- Higher order properties of the wild bootstrap under misspecification
- Bootstrapping realized multivariate volatility measures
- Subsampling high frequency data
- Data-based ranking of realised volatility estimators
- Bootstrapping pre-averaged realized volatility under market microstructure noise
- A local Gaussian bootstrap method for realized volatility and realized beta
- IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
- Exploiting the errors: a simple approach for improved volatility forecasting
- Integrated volatility and round-off error
- Bootstrapping Laplace transforms of volatility
- Bootstrap method for misspecified ergodic Lévy driven stochastic differential equation models
- Generalized Jump Regressions for Local Moments
- Correcting spot power variation estimator via Edgeworth expansion
- Empirical likelihood for high frequency data
- Large deviations of realized volatility
- Bumvu estimators
- A modified wild bootstrap procedure for Laplace transforms of volatility
- Multiplicative factor model for volatility
- Box-Cox transforms for realized volatility
- Ultra high frequency volatility estimation with dependent microstructure noise
- Edgeworth expansions for realized volatility and related estimators
- Volatility forecast comparison using imperfect volatility proxies
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
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