A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
Year of publication: |
May 2017
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Authors: | Hounyo, Ulrich ; Varneskov, Rasmus Tangsgaard |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 198.2017, 1, p. 10-28
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Subject: | Activity index | Bootstrap | Blumenthal-Getoor index | Confidence intervals | High-frequency data | Hypothesis testing | Realized power variation | Stable processes | Bootstrap-Verfahren | Bootstrap approach | Statistischer Test | Statistical test | Schätztheorie | Estimation theory | Martingal | Martingale | Aktienindex | Stock index | Index | Index number |
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