Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Year of publication: |
2014-10-07
|
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Authors: | Hounyo, Ulrich |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | High-frequency data | market microstructure noise | non-synchronous data | jumps | realized measures | integrated covariance | wild bootstrap | block bootstrap |
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