Bootstrapping realized multivariate volatility measures
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Publication:528117
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Cites work
- A Gaussian calculus for inference from high frequency data
- A Tale of Two Time Scales
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- ANOVA for diffusions and Itō processes
- Approximation Theorems of Mathematical Statistics
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Bootstrap and wild bootstrap for high dimensional linear models
- Bootstrapping Realized Volatility
- Bootstrapping regression models
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Edgeworth Corrections for Realized Volatility
- Edgeworth expansions for realized volatility and related estimators
- Estimating covariation: Epps effect, microstructure noise
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
- Jumps and betas: a new framework for disentangling and estimating systematic risks
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Modeling and Forecasting Realized Volatility
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Note on the Berry-Esseen Theorem
- On covariance estimation of non-synchronously observed diffusion processes
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- The bootstrap and Edgeworth expansion
Cited in
(21)- Bootstrapping Realized Volatility
- Empirical likelihood for high frequency data
- The uncertainty of conditional returns, volatilities and correlations in DCC models
- Testing the eigenvalue structure of spot and integrated covariance
- Stationary bootstrapping realized volatility
- Stationary bootstrapping realized volatility under market microstructure noise
- Volatility estimation and bootstrap
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Mixed-scale jump regressions with bootstrap inference
- Bootstrap methods for dependent data: a review
- Edgeworth Corrections for Realized Volatility
- A bootstrap test for jumps in financial economics
- Bootstrapping non-stationary stochastic volatility
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- Bootstrapping realized bipower variation
- Estimation of the realized (co-)volatility vector: large deviations approach
- Stationary bootstrapping for realized covariations of high frequency financial data
- A local Gaussian bootstrap method for realized volatility and realized beta
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