A local Gaussian bootstrap method for realized volatility and realized beta (Q5378499)
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scientific article; zbMATH DE number 7061150
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| English | A local Gaussian bootstrap method for realized volatility and realized beta |
scientific article; zbMATH DE number 7061150 |
Statements
A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA (English)
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31 May 2019
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local Gaussian bootstrap
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high-frequency data
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resampling
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realized multivariate volatility
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consistent estimator
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first-order asymptotic theory
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second-order asymptotic refinement
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0.8410931825637817
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0.8313066959381104
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0.8062944412231445
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0.7872852683067322
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0.786925733089447
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