Search Results - subject:"Subsampling."

Inference about realized volatility using infill subsampling

Kalnina, Ilze; Linton, Oliver - London School of Economics (LSE) - 2007

We investigate the use of subsampling for conducting inference about the quadratic variation of a discretely observed … diffusion process under an infill asymptotic scheme. We show that the usual subsampling method of Politis and Romano (1994) is … inconsistent when applied to our inference question. Recently, a type of subsampling has been used to do an additive bias …

Persistent link: https://www.econbiz.de/10010928783

Estimating spot volatility with high-frequency financial data

Zu, Yang; Boswijk, Herman Peter - In: Journal of econometrics 181 (2014) 2, pp. 117-135

Persistent link: https://www.econbiz.de/10010473332

Testing for the stochastic dominance efficiency of a given portfolio

Linton, Oliver; Post, Thierry; Whang, Yoon-jae - In: The econometrics journal 17 (2014) 2, pp. 59-74

Persistent link: https://www.econbiz.de/10010498726

A frequency-domain alternative to long-horizon regressions with application to return predictability

Sizova, Natalia - In: Journal of empirical finance 28 (2014), pp. 261-272

Persistent link: https://www.econbiz.de/10011285632

On the choice of regularization parameters in specification testing : a critical discussion

Sperlich, Stefan - In: Empirical economics : a journal of the Institute for … 47 (2014) 2, pp. 427-450

Persistent link: https://www.econbiz.de/10010391166

Testing for statistical arbitrage in credit derivatives markets

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: Journal of empirical finance 26 (2014), pp. 59-75

Persistent link: https://www.econbiz.de/10010472006

A fast resample method for parametric and semiparametric models

Armstrong, Timothy B.; Bertanha, Marinho; Hong, Han - In: Journal of econometrics 179 (2014) 2, pp. 128-133

Persistent link: https://www.econbiz.de/10010372656

A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter

Andrews, Donald W. K.; Guggenberger, Patrik - In: The Review of Economics and Statistics 96 (2014) 2, pp. 376-381

This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of a general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of...

Persistent link: https://www.econbiz.de/10011009896

A fast resample method for parametric and semiparametric models

Armstrong, Timothy B.; Bertanha, Marinho; Hong, Han - In: Journal of Econometrics 179 (2014) 2, pp. 128-133

We propose a fast resample method for two step nonlinear parametric and semiparametric models, which does not require recomputation of the second stage estimator during each resample iteration. The fast resample method directly exploits the score function representations computed on each...

Persistent link: https://www.econbiz.de/10010753478

Estimating spot volatility with high-frequency financial data

Zu, Yang; Peter Boswijk, H. - In: Journal of Econometrics 181 (2014) 2, pp. 117-135

We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the scale parameter and the bandwidth parameter in the...

Persistent link: https://www.econbiz.de/10010785276