A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA

DOI10.1017/S0266466618000129zbMath1428.62499OpenAlexW2801961925MaRDI QIDQ5378499

Ulrich Hounyo

Publication date: 31 May 2019

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466618000129

zbMATH Keywords

resamplingconsistent estimatorhigh-frequency datafirst-order asymptotic theorylocal Gaussian bootstraprealized multivariate volatilitysecond-order asymptotic refinement

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Nonparametric statistical resampling methods (62G09) Brownian motion (60J65)

Related Items (3)

Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment ⋮ Bootstrapping Laplace transforms of volatility ⋮ Inference for local distributions at high sampling frequencies: a bootstrap approach

Cites Work

• Unnamed Item
• The wild bootstrap, tamed at last
• Quarticity and other functionals of volatility: efficient estimation
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
• Bootstrapping realized multivariate volatility measures
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• Discretization of processes.
• Subsampling
• Realized power variation and stochastic volatility model
• On covariance estimation of non-synchronously observed diffusion processes
• The jackknife and bootstrap
• A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
• Bootstrap and wild bootstrap for high dimensional linear models
• Microstructure noise in the continuous case: the pre-averaging approach
• Adaptive estimation of continuous-time regression models using high-frequency data
• The Double Gaussian Approximation for High Frequency Data
• EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES
• 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
• Realized kernels in practice: trades and quotes
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• On blocking rules for the bootstrap with dependent data
• A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
• Validity of Edgeworth expansions for realized volatility estimators
• NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
• Bootstrapping High-Frequency Jump Tests
• BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Note on the Berry-Esseen Theorem
• A Tale of Two Time Scales
• The bootstrap and Edgeworth expansion

This page was built for publication: A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA