Bootstrapping realized multivariate volatility measures
From MaRDI portal
Publication:528117
DOI10.1016/J.JECONOM.2012.08.003zbMATH Open1443.62344OpenAlexW2118294523MaRDI QIDQ528117FDOQ528117
Authors: Prosper Dovonon, Sílvia Gonçalves, Nour Meddahi 
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://publications.ut-capitole.fr/14995/1/DGM1_290710.pdf
Recommendations
- Bootstrapping Realized Volatility
- Stationary bootstrapping realized volatility
- Volatility estimation and bootstrap
- High-dimensional multivariate realized volatility estimation
- Bootstrapping non-stationary stochastic volatility
- Stationary bootstrapping realized volatility under market microstructure noise
- Estimating stochastic volatility models using realized measures
- A local Gaussian bootstrap method for realized volatility and realized beta
- Bootstrapping pre-averaged realized volatility under market microstructure noise
- Bootstrapping nonparametric estimators of the volatility function.
Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Approximation Theorems of Mathematical Statistics
- Bootstrapping regression models
- Bootstrap and wild bootstrap for high dimensional linear models
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Modeling and Forecasting Realized Volatility
- A Tale of Two Time Scales
- Estimating covariation: Epps effect, microstructure noise
- Asymptotic error distributions for the Euler method for stochastic differential equations
- The bootstrap and Edgeworth expansion
- On covariance estimation of non-synchronously observed diffusion processes
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Bootstrapping Realized Volatility
- Edgeworth expansions for realized volatility and related estimators
- ANOVA for diffusions and Itō processes
- A Gaussian calculus for inference from high frequency data
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
- Note on the Berry-Esseen Theorem
- Jumps and betas: a new framework for disentangling and estimating systematic risks
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- Edgeworth Corrections for Realized Volatility
Cited In (19)
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- Bootstrapping Realized Volatility
- Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk
- Bootstrapping non-stationary stochastic volatility
- A bootstrap test for jumps in financial economics
- Estimation of the realized (co-)volatility vector: large deviations approach
- Stationary bootstrapping realized volatility
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Testing the eigenvalue structure of spot and integrated covariance
- Volatility estimation and bootstrap
- Empirical likelihood for high frequency data
- The uncertainty of conditional returns, volatilities and correlations in DCC models
- Mixed-scale jump regressions with bootstrap inference
- Edgeworth Corrections for Realized Volatility
- Stationary bootstrapping realized volatility under market microstructure noise
- Bootstrap methods for dependent data: a review
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA
This page was built for publication: Bootstrapping realized multivariate volatility measures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q528117)
