Stationary bootstrapping realized volatility
From MaRDI portal
Publication:2637373
DOI10.1016/j.spl.2013.05.005zbMath1279.62101OpenAlexW2029427771MaRDI QIDQ2637373
Publication date: 11 February 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2013.05.005
Asymptotic distribution theory in statistics (62E20) Stationary stochastic processes (60G10) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05)
Related Items (3)
Weak convergence for stationary bootstrap empirical processes of associated sequences ⋮ A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities ⋮ A bootstrap test for jumps in financial economics
Cites Work
- Unnamed Item
- Unit root testing via the stationary bootstrap
- Strong consistency of the stationary bootstrap under \(\psi\)-weak dependence
- Stationary bootstrap for kernel density estimators under \(\psi\)-weak dependence
- Bootstrapping realized multivariate volatility measures
- A note on the stationary bootstrap's variance
- A new weak dependence condition and applications to moment inequalities
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Consistency of the stationary bootstrap under weak moment conditions
- Volatility Estimation Based on High-Frequency Data
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Bootstrapping Realized Volatility
- The Stationary Bootstrap
- Bootstrapping unit root tests for integrated processes
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
- Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model
This page was built for publication: Stationary bootstrapping realized volatility
