Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Year of publication: |
March 2017
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Authors: | Hounyo, Ulrich |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 197.2017, 1, p. 130-152
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Subject: | High-frequency data | Market microstructure noise | Non-synchronous data | Jumps | Realized measures | Integrated covariance | Wild bootstrap | Block bootstrap | Bootstrap-Verfahren | Bootstrap approach | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Noise Trading | Noise trading | Schätztheorie | Estimation theory |
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