Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Silvia Gonçalves; Ulrich Hounyo; Nour Meddahi
| Year of publication: |
2014
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|---|---|
| Authors: | Gonçalves, Sílvia ; Hounyo, Ulrich ; Meddahi, Nour |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 12.2014, 4, p. 679-707
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| Subject: | high-frequency data | realized volatility | pre-averaging | market microstructure noise | wild bootstrap | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Bootstrap-Verfahren | Bootstrap approach | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Theorie | Theory | Noise Trading | Noise trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010512286