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~person:"Dufour, Jean-Marie"
~person:"Hounyo, Ulrich"
~subject:"Volatility"
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Search: subject:"Bootstrap"
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Volatility
Bootstrap approach
44
Bootstrap-Verfahren
44
Theorie
21
Theory
21
Volatilität
21
Time series analysis
17
Zeitreihenanalyse
17
bootstrap
17
Statistical test
14
Statistischer Test
14
Estimation theory
13
Schätztheorie
13
Monte Carlo test
12
Bootstrap
10
CAPM
10
Capital income
10
Kapitaleinkommen
10
exact test
10
Market microstructure
8
Marktmikrostruktur
8
Monte Carlo simulation
8
Monte-Carlo-Simulation
8
test de Monte Carlo
8
wild bootstrap
8
Noise Trading
7
Noise trading
7
market microstructure noise
7
realized volatility
7
test exact
7
Estimation
6
Schätzung
6
Stochastic process
6
Stochastischer Prozess
6
multivariate linear regression
6
uniform linear hypothesis
6
ARCH model
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Block bootstrap
5
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Dufour, Jean-Marie
Hounyo, Ulrich
Gonçalves, Sílvia
19
Cavaliere, Giuseppe
16
Meddahi, Nour
13
Taylor, Robert
12
Rahbek, Anders
10
Boswijk, Herman Peter
7
Kilian, Lutz
7
Dovonon, Prosper
5
Härdle, Wolfgang
5
Liu, Zhi
4
Smeekes, Stephan
4
Taamouti, Abderrahim
4
Varneskov, Rasmus Tangsgaard
4
Bouezmarni, Taoufik
3
Georgiev, Iliyan
3
Olasehinde-Williams, Godwin
3
Pedersen, Rasmus Søndergaard
3
Bohn Nielsen, Heino
2
Brüggemann, Ralf
2
Camponovo, Lorenzo
2
Coudin, Elise
2
Davidson, James E. H.
2
Dette, Holger
2
Elkassabgi, Ahmed
2
Hwang, Eunju
2
Jentsch, Carsten
2
Kočenda, Evžen
2
Lee, Kuo-Hao
2
McAleer, Michael
2
Medeiros, Marcelo C.
2
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2
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2
Phillips, Peter C. B.
2
Podolskij, Mark
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ECONIS (ZBW)
21
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11
Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
Saved in:
12
A local Gaussian
bootstrap
method for realized volatility and realized beta
Hounyo, Ulrich
- In:
Econometric theory
35
(
2019
)
2
,
pp. 360-416
Persistent link: https://www.econbiz.de/10012146140
Saved in:
13
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Saved in:
14
Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich
;
Gonçalves, Sílvia
;
Meddahi, Nour
-
2013
Persistent link: https://www.econbiz.de/10009790617
Saved in:
15
Bootstrapping realized volatility and realized beta under a local Gaussianity assumption
Hounyo, Ulrich
-
2013
Persistent link: https://www.econbiz.de/10010125963
Saved in:
16
Bootstrap
inference for pre-averaged realized volatility based on non-overlapping returns
Gonc̜alves, Sílva
;
Hounyo, Ulrich
;
Meddahi, Nour
-
2013
Persistent link: https://www.econbiz.de/10009719165
Saved in:
17
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011487524
Saved in:
18
Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich
;
Gonçalves, Sílvia
;
Meddahi, Nour
- In:
Econometric theory
33
(
2017
)
4
,
pp. 791-838
Persistent link: https://www.econbiz.de/10011810210
Saved in:
19
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
Saved in:
20
Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Coudin, Elise
;
Dufour, Jean-Marie
- In:
The econometrics journal
12
(
2009
),
pp. 19-49
Persistent link: https://www.econbiz.de/10003876273
Saved in:
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