Bootstrapping pre-averaged realized volatility under market microstructure noise
Year of publication: |
May 2017
|
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Authors: | Hounyo, Ulrich ; Gonçalves, Sílvia ; Meddahi, Nour |
Publisher: |
[Toulouse] : IDEI, Institut d'économie industrielle |
Subject: | Block bootstrap | high frequency data | market microstructure noise | preaveraging | realized volatility | wild bootstrap | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Bootstrap-Verfahren | Bootstrap approach | Noise Trading | Noise trading | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
Extent: | 1 Online-Ressource (circa 48 Seiten) Illustrationen |
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Series: | IDEI working papers. - Toulouse, ZDB-ID 2208223-2. - Vol. n. 869 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich, (2016)
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Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich, (2017)
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Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia, (2014)
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Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
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Bootstrapping pre-averaged realized volatility under market microstructure noise
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Bootstrapping pre-averaged realized volatility under market microstructure noise
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