Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
From MaRDI portal
Publication:506058
DOI10.1016/j.jeconom.2016.11.002zbMath1443.62355OpenAlexW2558243094MaRDI QIDQ506058
Publication date: 30 January 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.11.002
jumpshigh-frequency datablock bootstrapmarket microstructure noisewild bootstrapintegrated covariancenon-synchronous datarealized measures
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items
Inference for time-varying lead-lag relationships from ultra-high-frequency data ⋮ Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment ⋮ Testing the eigenvalue structure of spot and integrated covariance ⋮ Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity ⋮ A WILD BOOTSTRAP FOR DEPENDENT DATA ⋮ Bootstrapping Laplace transforms of volatility ⋮ A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA ⋮ The local fractional bootstrap ⋮ A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation ⋮ Bootstrapping High-Frequency Jump Tests
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- Bootstrapping realized multivariate volatility measures
- Subsampling high frequency data
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- New tests for jumps in semimartingale models
- Jumps and betas: a new framework for disentangling and estimating systematic risks
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Estimating covariation: Epps effect, microstructure noise
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
- Edgeworth expansions for realized volatility and related estimators
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Limit theorems for moving averages of discretized processes plus noise
- High frequency market microstructure noise estimates and liquidity measures
- Bootstrap procedures under some non-i.i.d. models
- A general resampling scheme for triangular arrays of \(\alpha\)-mixing random variables with application to the problem of spectral density estimation
- Subsampling
- A general version of the fundamental theorem of asset pricing
- On covariance estimation of non-synchronously observed diffusion processes
- Jackknife, bootstrap and other resampling methods in regression analysis
- The jackknife and the bootstrap for general stationary observations
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- Microstructure noise in the continuous case: the pre-averaging approach
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing
- Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Bootstrapping Realized Volatility
- Inference for Continuous Semimartingales Observed at High Frequency
- On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
- THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
- Validity of Edgeworth expansions for realized volatility estimators
- High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
- BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
- Modeling and Forecasting Realized Volatility
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Note on the Berry-Esseen Theorem
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- A Tale of Two Time Scales