Bootstrapping volatility functionals: a local and nonparametric perspective

DOI10.1093/BIOMET/ASY002MaRDI QIDQ5384598zbMATH OpenOpenAlexFDO

Authors Xin-Bing Kong, Shaojun Xu, Wang Zhou

Publication date 24 June 2019

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/asy002

zbMATH Keywords

bootstrapItô processrealized volatility functional

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10)

Cited in

(2)

• Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
• A two-step test for the two-sample problem of processes of Ornstein-Uhlenbeck type

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