Similar Search Results

Inference for Local Distributions at High Sampling Frequencies : A Bootstrap Approach

Hounyo, Ulrich - 2018

We study inference for the local innovations of It\^o semimartingales. Specifically, we construct a resampling procedure for the empirical CDF of high-frequency innovations that have been standardized using a nonparametric estimate of its stochastic scale (volatility) and truncated to rid the...

Persistent link: https://www.econbiz.de/10012907894

Inference for local distributions at high sampling frequencies : a bootstrap approach

Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - 2018

Persistent link: https://www.econbiz.de/10011864974

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

Statistical inference of spot correlation and spot market beta under infinite variation jumps

Liu, Qiang; Liu, Zhi - In: Journal of financial econometrics 20 (2022) 4, pp. 612-654

Persistent link: https://www.econbiz.de/10013349148

Unified inference for nonlinear factor models from panels with fixed and large time span

Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - 2018

Persistent link: https://www.econbiz.de/10011797489

Unified inference for nonlinear factor models from panels with fixed and large time span

Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - In: Journal of econometrics 212 (2019) 1, pp. 4-25

Persistent link: https://www.econbiz.de/10012303860

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

Consistent inference for predictive regressions in persistent economic systems

Andersen, Torben; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 224 (2021) 1, pp. 215-244

Persistent link: https://www.econbiz.de/10013275373