Bootstrapping pre-averaged realized volatility under market microstructure noise
Ulrich Hounyo, Sílvia Gonçalves and Nour Meddahi
| Year of publication: |
May 2017
|
|---|---|
| Authors: | Hounyo, Ulrich ; Gonçalves, Sílvia ; Meddahi, Nour |
| Publisher: |
[Toulouse] : IDEI, Institut d'économie industrielle |
| Subject: | Block bootstrap | high frequency data | market microstructure noise | preaveraging | realized volatility | wild bootstrap | Volatilität | Volatility | Bootstrap-Verfahren | Bootstrap approach | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | Theorie | Theory | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
freely available
| Extent: | 1 Online-Ressource (circa 48 Seiten) Illustrationen |
|---|---|
| Series: | IDEI working papers. - Toulouse, ZDB-ID 2208223-2. - Vol. n. 869 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011731265