Dovonon, Prosper; Goncalves, Silvia; Meddahi, Nour - Volkswirtschaftliche Fakultät, … - 2010
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 results of Barndorff-Nielsen and Shephard (2004)...