We develop a martingale-based decomposition for a general class of quadratic forms of Markov chains, which resembles the well-known Hoeffding decomposition of U-statistics of i.i.d. data up to a reminder term. To illustrate the applicability of our results, we discuss how this decomposition may...

This paper studies the three-step Euclidean likelihood (3S) estimator and its corrected version as proposed by Antoine, Bonnal and Renault (2007) in globally misspecified models. We establish that the 3S estimator stays √n-convergent and asymptotically Gaussian. The discontinuity in the...

We study bootstrap methods for statistics that are a function of multivariate high frequency returns such as realized regression coefficients and realized covariances and correlations. For these measures of covariation, the Monte Carlo simulation results of Barndorff-Nielsen and Shephard (2004)...

Conditional heteroskedasticity, skewness and leverage effects are well known features of financial returns. The literature on factor models has often made assumptions that preclude the three effects to occur simultaneously. In this paper I propose a conditionally heteroskedastic factor model...

This paper proposes a test for common GARCH factors in asset returns. Following Engle and Kozicki (1993), the common GARCH factors property is expressed in terms of testable overidentifying moment restrictions. However, as we show, these moment conditions have a degenerate Jacobian matrix at the...

We study bootstrap methods for statistics that are a function of multivariate high frequency returns such as realized regression coefficients and realized covariances and correlations. For these measures of covariation, the Monte Carlo simulation results of Barndorff-Nielsen and Shephard (2004)...