Bumvu estimators

DOI10.1016/J.JECONOM.2024.105942MaRDI QIDQ6854611zbMATH OpenFDO

Authors Aleksey Kolokolov, Roberto Renò, Patrick Zoi

Publication date 24 February 2026

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2024.105942

zbMATH Keywords

drift detectionfixed blockintegrated volatility powersminimum variancenonparametric regressionunbiased estimatorswild bootstrap

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(1)

• Multi-horizon test for market frictions

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