Bootstrapping realized bipower variation

DOI10.1007/978-1-4939-0569-0_9MaRDI QIDQ2787360zbMATH OpenOpenAlexFDO

Authors Jens-Peter Kreiß, Gang Feng

Publication date 25 February 2016

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4939-0569-0_9

zbMATH Keywords

bootstrapnonparametric volatility estimationrealized bipower variation

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• Bootstrapping Realized Volatility
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

Cited in

(7)

• Stationary bootstrapping realized volatility
• New testing and estimation methods for modelling developments of securities.
• Bootstrapping Realized Volatility
• Bootstrapping high-frequency jump tests
• Bootstrapping pre-averaged realized volatility under market microstructure noise
• A local Gaussian bootstrap method for realized volatility and realized beta
• Analysis of the efficiency of realized bipower variation and realized multipower variation

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