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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
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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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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
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Nonparametric regression with nearly integrated regressors under long-run dependence
Cai, Zongwu; Jing, Bingyi; Kong, Xinbing; Liu, Zhi - In: The econometrics journal 20 (2017) 1, pp. 118-138
Persistent link: https://www.econbiz.de/10011719971
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A rank test for the number of factors with high-frequency data
Kong, Xin-Bing; Liu, Zhi; Zhou, Wang - In: Journal of econometrics 211 (2019) 2, pp. 439-460
Persistent link: https://www.econbiz.de/10012303820
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On bivariate time-varying price staleness
Zhu, Haibin; Liu, Zhi - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 229-242
Persistent link: https://www.econbiz.de/10014449902
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A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility1
Varneskov, Rasmus; Hounyo, Ulrich; Liu, Zhi - 2023
Persistent link: https://www.econbiz.de/10014357706
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A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility
Hounyo, Ulrich; Liu, Zhi; Varneskov, Rasmus Tangsgaard - 2022
Persistent link: https://www.econbiz.de/10013492694
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Bootstrapping Laplace Transforms of Volatility : Supplementary Appendix
Hounyo, Ulrich; Liu, Zhi; Varneskov, Rasmus Tangsgaard - 2023
Persistent link: https://www.econbiz.de/10014355268
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Leader perfectionism : friend or foe of employee creativity? : locus of control as a key contingency
Xu, Linna; Liu, Zhi; Ji, Ming; Dong, Yuntao; Wu, Chia-Huei - In: Academy of Management journal : AMJ 65 (2022) 6, pp. 2092-2117
Persistent link: https://www.econbiz.de/10013548989