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Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich - 2014
Persistent link: https://www.econbiz.de/10010413824
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The wild tapered block bootstrap
Hounyo, Ulrich - 2014
Persistent link: https://www.econbiz.de/10010413844
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Bootstrapping realized volatility and realized beta under a local Gaussianity assumption
Hounyo, Ulrich - 2013
Persistent link: https://www.econbiz.de/10010125963
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Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - 2013
Persistent link: https://www.econbiz.de/10009790617
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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
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Testing for heteroscedasticity in jumpy and noisy high-frequency data : a resampling approach
Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - 2016
Persistent link: https://www.econbiz.de/10011541690
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The local fractional bootstrap
Bennedsen, Mikkel; Hounyo, Ulrich; Lunde, Asger; … - 2016
Persistent link: https://www.econbiz.de/10011474807
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A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - 2015
Persistent link: https://www.econbiz.de/10010529445
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Inference for local distributions at high sampling frequencies : a bootstrap approach
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - 2018
Persistent link: https://www.econbiz.de/10011864974
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Is the diurnal pattern sufficient to explain the intraday variation in volatility? : a nonparametric assessment
Christensen, Kimberly; Hounyo, Ulrich; Podolskij, Mark - 2017
Persistent link: https://www.econbiz.de/10011721051