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Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Kilian, Lutz; Gonçalves, Sílvia - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10010295743

Bootstrapping realized volatility

Gonçalves, Sílvia; Meddahi, Nour - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 1, pp. 283-306

Persistent link: https://www.econbiz.de/10003866987

Box-Cox transforms for realized volatility

Gonçalves, Sílvia; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 129-144

Persistent link: https://www.econbiz.de/10009242530

Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns

Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour - In: Journal of financial econometrics : official journal of … 12 (2014) 4, pp. 679-707

Persistent link: https://www.econbiz.de/10010512286

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10011431797

Bootstrapping realized multivariate volatility measures

Dovonon, Prosper; Gonçalves, Sílvia; Meddahi, Nour - In: Journal of econometrics 172 (2013) 1, pp. 49-65

Persistent link: https://www.econbiz.de/10009702319

Bootstrapping pre-averaged realized volatility under market microstructure noise

Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - 2013

Persistent link: https://www.econbiz.de/10009790617

Edgeworth corrections for realized volatility

Gonçalves, Sílvia; Meddahi, Nour - In: Econometric reviews 27 (2008) 1/3, pp. 139-162

Persistent link: https://www.econbiz.de/10003761221

Bootstrapping pre-averaged realized volatility under market microstructure noise

Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - 2016

Persistent link: https://www.econbiz.de/10011479764

Bootrstrapping high-frequency jump tests

Dovonon, Prosper; Gonçalves, Sílvia; Hounyo, Ulrich; … - 2016

Persistent link: https://www.econbiz.de/10011479788

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