Inference for local distributions at high sampling frequencies: a bootstrap approach
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bootstrap inferencehigh-frequency dataItô semimartingalesKolmogorov-Smirnov teststable processesvon-Mises statistics
Nonparametric statistical resampling methods (62G09) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites work
- A bootstrap-assisted spectral test of white noise under unknown dependence
- A general version of the fundamental theorem of asset pricing
- A Hausman test for the presence of market microstructure noise in high frequency data
- A local Gaussian bootstrap method for realized volatility and realized beta
- A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Activity signature functions for high-frequency data analysis
- Alternative models for stock price dynamics.
- An analysis of variance test for normality (complete samples)
- Asset pricing for general processes
- Asymptotic Statistics
- Blockwise bootstrapped empirical process for stationary sequences
- Bootstrap methods: another look at the jackknife
- Bootstrap procedures under some non-i.i.d. models
- Bootstrapping general empirical measures
- Bootstrapping high-frequency jump tests
- Bootstrapping Realized Volatility
- Continuous mapping approach to the asymptotics of U- and V-statistics
- Convergence rates of least squares regression estimators with heavy-tailed errors
- Dependent wild bootstrap for degenerate U- and V-statistics
- Dependent wild bootstrap for the empirical process
- Discretization of processes.
- Electricity spot price modelling with a view towards extreme spike risk
- Empirically relevant critical values for hypothesis tests: A bootstrap approach
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- Estimating the jump activity index under noisy observations using high-frequency data
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- Exchangeably weighted bootstraps of the general empirical process
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- Inference for option panels in pure-jump settings
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- Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
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- Jumps in equilibrium prices and market microstructure noise
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- Nonparametric tests for pathwise properties of semimartingales
- On the bootstrap of \(U\) and \(V\) statistics
- Processes that can be embedded in Brownian motion
- Realized kernels in practise : trades and quotes
- Realized Laplace transforms for pure-jump semimartingales
- Some asymptotic theory for the bootstrap
- Stable Paretian Random Functions and the Multiplicative Variation of Income
- Statistics and high-frequency data
- Stochastic Volatility for Lévy Processes
- Tapered block bootstrap
- Tempered stable Lévy motion and transient super-diffusion
- The dependent wild bootstrap
- The fine structure of equity-index option dynamics
- The jackknife and the bootstrap for general stationary observations
- The power of bootstrap and asymptotic tests
- The tapered block bootstrap for general statistics from stationary sequences
- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
- The wild bootstrap, tamed at last
- Validity of blockwise bootstrap for empirical processes with stationary observations
- Volatility activity: specification and estimation
- Volatility jumps
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