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Estimating volatility functionals with multiple transactions
Jing, Bingyi; Liu, Zhi; Kong, Xinbing - In: Econometric theory 33 (2017) 2, pp. 331-365
Persistent link: https://www.econbiz.de/10011665349
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Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized Kernels
Varneskov, Rasmus Tangsgaard - In: Econometric theory 33 (2017) 6, pp. 1457-1501
Persistent link: https://www.econbiz.de/10011810427
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Inference for option panels in pure-jump settings
Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - In: Econometric theory 35 (2019) 5, pp. 901-942
Persistent link: https://www.econbiz.de/10012146164
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Spatial dependence in option observation errors
Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - In: Econometric theory 37 (2021) 2, pp. 205-247
Persistent link: https://www.econbiz.de/10012505388
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Consistent local spectrum inference for predictive return regressions
Andersen, Torben; Varneskov, Rasmus Tangsgaard - In: Econometric theory 38 (2022) 6, pp. 1253-1307
Persistent link: https://www.econbiz.de/10013539347
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A local Gaussian bootstrap method for realized volatility and realized beta
Hounyo, Ulrich - In: Econometric theory 35 (2019) 2, pp. 360-416
Persistent link: https://www.econbiz.de/10012146140
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A wild bootstrap for dependent data
Hounyo, Ulrich - In: Econometric theory 39 (2023) 2, pp. 264-289
Persistent link: https://www.econbiz.de/10014306259
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Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - In: Econometric theory 33 (2017) 4, pp. 791-838
Persistent link: https://www.econbiz.de/10011810210