Stationary bootstrapping realized volatility under market microstructure noise
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Publication:364198
DOI10.1214/13-EJS834zbMath1273.62249MaRDI QIDQ364198
Publication date: 6 September 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1377005818
62P20: Applications of statistics to economics
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G09: Nonparametric statistical resampling methods
Related Items
Weak convergence for stationary bootstrap empirical processes of associated sequences, Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity, A bootstrap test for jumps in financial economics
Uses Software
Cites Work
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