A bootstrap methodology for the periodogram of a stationary process is proposed which is based on a combination of a time domain parametric and a frequency domain nonparametric bootstrap. The parametric fit is used to generate periodogram ordinates and imitate the essential features of the data...

A bootstrap methodology for the periodogram of a stationary process is proposed which is based on a combination of a time domain parametric and a frequency domain nonparametric bootstrap. The parametric fit is used to generate periodogram ordinates and imitate the essential features of the data...

Estimation of integrated multivariate volatilities of an Ito process is an interesting and important issue in finance, for example, in order to evaluate portfolios. New non-parametric estimators have been recently proposed by Malliavin and Mancino (2002) and Hayashi and Yoshida (2005a) as...