Hounyo, Ulrich; Goncalves, Sílvia; Meddahi, Nour - School of Economics and Management, University of Aarhus - 2013
The main contribution of this paper is to propose a bootstrap method for inference on integrated volatility based on the pre-averaging approach of Jacod et al. (2009), where the pre-averaging is done over all possible overlapping blocks of consecutive observations. The overlapping nature of the...
