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Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich - In: Journal of econometrics 197 (2017) 1, pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
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Treatment recommendation with distributional targets
Kock, Anders Bredahl; Preinerstorfer, David; Veliyev, … - In: Journal of econometrics 234 (2023) 2, pp. 624-646
Persistent link: https://www.econbiz.de/10014434355
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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
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Estimating the variance of a combined forecast : bootstrap-based approach
Hounyo, Ulrich; Lahiri, Kajal - In: Journal of econometrics 232 (2023) 2, pp. 445-468
Persistent link: https://www.econbiz.de/10014340010
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A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 198 (2017) 1, pp. 10-28
Persistent link: https://www.econbiz.de/10011818366
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Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - In: Journal of econometrics 205 (2018) 2, pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
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Inference for local distributions at high sampling frequencies : a bootstrap approach
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 215 (2020) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10012439150