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ArticleBootstrapping realized multivariate volatility measures

Prosper Dovonon2012

OA

Articlegreen2012

Bootstrapping realized multivariate volatility measures

Prosper Dovonon · Śılvia Gonçalves · Nour Meddahi Y

54 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Statistical Methods and Inference

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References

1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 2005A Tale of Two Time Scales 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 2001Modeling and Forecasting Realized Volatility

Cited by

2017Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance 2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading 2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price 2007Inference for Continuous Semimartingales Observed at High Frequency: A General Approach

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2017Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variancearticle · 15 shared references 2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient pricearticle · 14 shared references 2016Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous tradingarticle · 14 shared references 2005Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometricspreprint · 13 shared references 2010Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous dataarticle · 12 shared references 2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous tradingarticle · 12 shared references

Details

Year2012

Typearticle

Published2012-08-13

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations54

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2012.08.003

openalex_workW1539204276

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2016

Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading

2017Mixed-scale jump regressions with bootstrap inference

2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

2018Statistical Inferences for Realized Portfolio Weights