Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity (Q1652951)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity |
scientific article |
Statements
Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity (English)
0 references
17 July 2018
0 references
market microstructure noise
0 references
non-synchronous trading
0 references
realized covariations
0 references
two-time scale estimator
0 references
stationary bootstrap
0 references
high frequency data
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
