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Inference for local distributions at high sampling frequencies : a bootstrap approach

Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 215 (2020) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10012439150

Alternative variance-ratio tests using ranks and signs

Wright, Jonathan H. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10001441577

Residual log-periodogram inference for long-run relationships

Hassler, Uwe; Mármol, Francesc; Valasco, Carlos - In: Journal of econometrics 130 (2006) 1, pp. 165-207

Persistent link: https://www.econbiz.de/10003228637

Residual log-periodogram inference for long-run relationships

Hassler, Uwe; Mármol, Francesc; Velasco, Carlos - 2002

Persistent link: https://www.econbiz.de/10001751669

Inference theory for volatility functional dependencies

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Journal of econometrics 193 (2016) 1, pp. 17-34

Persistent link: https://www.econbiz.de/10011704756

Fixed-k inference for volatility

Bollerslev, Tim; Li, Jia; Liao, Zhipeng - In: Quantitative economics : QE ; journal of the … 12 (2021) 4, pp. 1053-1084

in local estimation blocks, our theory treats the estimation block size k as fixed. While the resulting spot volatility …We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale … estimator is no longer consistent, the new theory permits the construction of asymptotically valid and easy …

Persistent link: https://www.econbiz.de/10012795628