Dovonon, Prosper; Goncalves, Silvia; Meddahi, Nour - Volkswirtschaftliche Fakultät, … - 2010
. We argue that this is due to the fact that the conditional mean parameters of realized regression models are …We study bootstrap methods for statistics that are a function of multivariate high frequency returns such as realized … regression coefficients and realized covariances and correlations. For these measures of covariation, the Monte Carlo simulation …