A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
Ulrich Hounyo, Rasmus T. Varneskov
| Year of publication: |
May 2017
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|---|---|
| Authors: | Hounyo, Ulrich ; Varneskov, Rasmus Tangsgaard |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 198.2017, 1, p. 10-28
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| Subject: | Activity index | Bootstrap | Blumenthal-Getoor index | Confidence intervals | High-frequency data | Hypothesis testing | Realized power variation | Stable processes | Bootstrap-Verfahren | Bootstrap approach | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | Aktienindex | Stock index | Stochastischer Prozess | Stochastic process | Index | Index number | Zeitreihenanalyse | Time series analysis |