Hounyo, Ulrich - School of Economics and Management, University of Aarhus - 2013
distributions of realized volatility and ealized betas. Second, we show that the local Gaussian bootstrap matches accurately the … first four cumulants of realized volatility, implying that this method provides third-order refinements. This is in contrast … Gaussian bootstrap is able to provide second-order refinements for the realized beta, which is also an improvement of the …