Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour - School of Economics and Management, University of Aarhus - 2013
The main contribution of this paper is to propose bootstrap methods for realized volatility-like estimators defined on pre-averaged returns. In particular, we focus on the pre-averaged realized volatility estimator proposed by Podolskij and Vetter (2009). This statistic can be written (up to a...