Bootstrap inference about integrated volatility (in Russian)
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References listed on IDEAS
- Nour Meddahi, 2002.
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More about this item
Keywordsintegrated volatility; realized volatility; block bootstrap; GARCH bootstrap;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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