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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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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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The role of dynamic specification in forecasting volatility in the presence of jumps and noisy high-frequency data
Varneskov, Rasmus Tangsgaard - 2010
Persistent link: https://www.econbiz.de/10008651714
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The properties of model selection when retain theory variables
Varneskov, Rasmus Tangsgaard - 2011
Persistent link: https://www.econbiz.de/10009356170
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Flat-top realized kernel estimation of quadratic covariation with non-synchronous and noisy asset prices
Varneskov, Rasmus Tangsgaard - 2011
Persistent link: https://www.econbiz.de/10009308207
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Generalized flat-top realized kernel estimation of ex-post variation of asset
Varneskov, Rasmus Tangsgaard - 2011
Persistent link: https://www.econbiz.de/10009272099
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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