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...

The main contribution of this paper is to propose a new bootstrap method for statistics based on high frequency returns. The new method exploits the local Gaussianity and the local constancy of volatility of high frequency returns, two assumptions that can simplify inference in the high...

The main contribution of this paper is to propose bootstrap methods for realized volatility-like estimators defined on pre-averaged returns. In particular, we focus on the pre-averaged realized volatility estimator proposed by Podolskij and Vetter (2009). This statistic can be written (up to a...

In this paper, a new resampling procedure, called the wild tapered block bootstrap, is introduced as a means of calculating standard errors of estimators and constructing confidence regions for parameters based on dependent heterogeneous data. The method consists in tapering each overlapping...

We propose a bootstrap method for estimating the distribution (and functionals of it such as the variance) of various integrated covariance matrix estimators. In particular, we first adapt the wild blocks of blocks bootstrap method suggested for the pre-averaged realized volatility estimator to...

We consider the problem of optimizing the expected logarithmic utility of the value of a portfolio in a binomial model with proportional transaction costs with a long time horizon. By duality methods, we can find expressions for the boundaries of the no-trade-region and the asymptotic optimal...

Every submartingale S of class D has a unique Doob–Meyer decomposition S=M+A, where M is a martingale and A is a predictable increasing process starting at 0.

We consider the problem of optimizing the expected logarithmic utility of the value of a portfolio in a binomial model with proportional transaction costs with a long time horizon. By duality methods, we can find expressions for the boundaries of the no-trade-region and the asymptotic optimal...

E-commerce in physical goods enhances the degree of product market competition but leads also to higher trading costs as goods bought through the internet are shipped individually. Do these features of e-commerce support a case for granting preferential tax treatment to online shopping? This is...

Frequently, seasonal and non-seasonal data (especially macro time series) are observed with noise. For instance, the time series can have irregular abrupt changes and interruptions following as a result of additive or temporary change outliers caused by external circumstances which are...