IDEAS home Printed from https://ideas.repec.org/r/ecm/emetrp/v77y2009i1p283-306.html
   My bibliography  Save this item

Bootstrapping Realized Volatility

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. repec:hal:journl:peer-00815564 is not listed on IDEAS
  2. Yu-Min Yen, 2013. "Testing Jumps via False Discovery Rate Control," PLOS ONE, Public Library of Science, vol. 8(4), pages 1-15, April.
  3. Hounyo, Ulrich & Varneskov, Rasmus T., 2020. "Inference for local distributions at high sampling frequencies: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 215(1), pages 1-34.
  4. Anisha Ghosh & Oliver Linton, 2019. "Estimation with Mixed Data Frequencies: A Bias-Correction Approach," CeMMAP working papers CWP65/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  5. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2018. "Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions," Journal of Econometrics, Elsevier, vol. 207(1), pages 71-91.
  6. Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil, 2006. "Limit Theorems For Bipower Variation In Financial Econometrics," Econometric Theory, Cambridge University Press, vol. 22(4), pages 677-719, August.
  7. Yuma Uehara, 2023. "Bootstrap method for misspecified ergodic Lévy driven stochastic differential equation models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(4), pages 533-565, August.
  8. Kline, Patrick & Santos, Andres, 2012. "Higher order properties of the wild bootstrap under misspecification," Journal of Econometrics, Elsevier, vol. 171(1), pages 54-70.
  9. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre.
  10. Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2011. "Ultra high frequency volatility estimation with dependent microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 160-175, January.
  11. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.
  12. He, Lidan & Liu, Qiang & Liu, Zhi, 2020. "Edgeworth corrections for spot volatility estimator," Statistics & Probability Letters, Elsevier, vol. 164(C).
  13. Hounyo, Ulrich & Gonçalves, Sílvia & Meddahi, Nour, 2017. "Bootstrapping Pre-Averaged Realized Volatility Under Market Microstructure Noise," Econometric Theory, Cambridge University Press, vol. 33(4), pages 791-838, August.
  14. Prosper Dovonon & Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2019. "Bootstrapping High-Frequency Jump Tests," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 793-803, April.
  15. Li, Jia & Todorov, Viktor & Tauchen, George & Chen, Rui, 2017. "Mixed-scale jump regressions with bootstrap inference," Journal of Econometrics, Elsevier, vol. 201(2), pages 417-432.
  16. Ulrich Hounyo, 2013. "Bootstrapping realized volatility and realized beta under a local Gaussianity assumption," CREATES Research Papers 2013-30, Department of Economics and Business Economics, Aarhus University.
  17. Tim Bollerslev & Jia Li & Yuan Xue, 2018. "Volume, Volatility, and Public News Announcements," Review of Economic Studies, Oxford University Press, vol. 85(4), pages 2005-2041.
  18. Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Journal of Econometrics, Elsevier, vol. 162(2), pages 149-169, June.
  19. Tim Bollerslev & Jia Li & Leonardo Salim Saker Chaves, 2021. "Generalized Jump Regressions for Local Moments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1015-1025, October.
  20. Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Subsampling realised kernels," Journal of Econometrics, Elsevier, vol. 160(1), pages 204-219, January.
  21. Tim Bollerslev & Jia Li & Andrew J. Patton & Rogier Quaedvlieg, 2020. "Realized Semicovariances," Econometrica, Econometric Society, vol. 88(4), pages 1515-1551, July.
  22. Vortelinos, Dimitrios I., 2010. "The properties of realized correlation: Evidence from the French, German and Greek equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 273-290, August.
  23. Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2014. "Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(4), pages 679-707.
  24. Mikkel Bennedsen & Ulrich Hounyo & Asger Lunde & Mikko S. Pakkanen, 2016. "The Local Fractional Bootstrap," CREATES Research Papers 2016-15, Department of Economics and Business Economics, Aarhus University.
  25. Amaya, Diego & Christoffersen, Peter & Jacobs, Kris & Vasquez, Aurelio, 2015. "Does realized skewness predict the cross-section of equity returns?," Journal of Financial Economics, Elsevier, vol. 118(1), pages 135-167.
  26. Chaker, Selma, 2017. "On high frequency estimation of the frictionless price: The use of observed liquidity variables," Journal of Econometrics, Elsevier, vol. 201(1), pages 127-143.
  27. Jim Griffin & Jia Liu & John M. Maheu, 2021. "Bayesian Nonparametric Estimation of Ex Post Variance [Out of Sample Forecasts of Quadratic Variation]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(5), pages 823-859.
  28. Jean Jacod & Yingying Li & Per A. Mykland & Mark Podolskij & Mathias Vetter, 2007. "Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9," CREATES Research Papers 2007-43, Department of Economics and Business Economics, Aarhus University.
  29. Julien Chevallier & Benoît Sévi, 2011. "On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting," Annals of Finance, Springer, vol. 7(1), pages 1-29, February.
  30. Gonçalves, Sílvia & Meddahi, Nour, 2011. "Box-Cox transforms for realized volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 129-144, January.
  31. Julien Chevallier & Benoît Sévi, 2009. "On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting," Working Papers hal-04140871, HAL.
  32. repec:dau:papers:123456789/4598 is not listed on IDEAS
  33. Per A. Mykland & Neil Shephard & Kevin Sheppard, 2012. "Efficient and feasible inference for the components of financial variation using blocked multipower variation," Economics Papers 2012-W02, Economics Group, Nuffield College, University of Oxford.
  34. Hwang, Eunju & Shin, Dong Wan, 2018. "Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity," Journal of Econometrics, Elsevier, vol. 202(2), pages 178-195.
  35. Lorenzo Camponovo & Yukitoshi Matsushita & Taisuke Otsu, 2015. "Nonparametric likelihood for volatility under high frequency data," STICERD - Econometrics Paper Series /2015/581, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  36. Hwang, Eunju & Shin, Dong Wan, 2014. "A bootstrap test for jumps in financial economics," Economics Letters, Elsevier, vol. 125(1), pages 74-78.
  37. Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2009. "Microstructure noise in the continuous case: The pre-averaging approach," Stochastic Processes and their Applications, Elsevier, vol. 119(7), pages 2249-2276, July.
  38. Hounyo, Ulrich, 2017. "Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading," Journal of Econometrics, Elsevier, vol. 197(1), pages 130-152.
  39. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016. "Exploiting the errors: A simple approach for improved volatility forecasting," Journal of Econometrics, Elsevier, vol. 192(1), pages 1-18.
  40. Amir Safari & Detlef Seese, 2010. "Behavior of realized volatility and correlation in exchange markets," International Econometric Review (IER), Econometric Research Association, vol. 2(2), pages 73-96, September.
  41. Yacine Ait-Sahalia & Jialin Yu, 2008. "High Frequency Market Microstructure Noise Estimates and Liquidity Measures," NBER Working Papers 13825, National Bureau of Economic Research, Inc.
  42. Hounyo, Ulrich & Varneskov, Rasmus T., 2017. "A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation," Journal of Econometrics, Elsevier, vol. 198(1), pages 10-28.
  43. Zhang, Lan & Mykland, Per A. & Aït-Sahalia, Yacine, 2011. "Edgeworth expansions for realized volatility and related estimators," Journal of Econometrics, Elsevier, vol. 160(1), pages 190-203, January.
  44. Nath, H. (Mindi) B. & Kim, Jae H. & Brooks, Robert D., 2012. "Realized dual-betas for leading Australian stocks: An evaluation of the estimation methods and the effect of the sampling interval," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 10-22.
  45. António Alberto Santos, 2015. "The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures," GEMF Working Papers 2015-10, GEMF, Faculty of Economics, University of Coimbra.
  46. Tim Bollerslev & Jia Li & Zhipeng Liao, 2021. "Fixed‐k inference for volatility," Quantitative Economics, Econometric Society, vol. 12(4), pages 1053-1084, November.
  47. Dovonon, Prosper & Gonçalves, Sílvia & Meddahi, Nour, 2013. "Bootstrapping realized multivariate volatility measures," Journal of Econometrics, Elsevier, vol. 172(1), pages 49-65.
  48. Linton, Oliver & Whang, Yoon-Jae & Yen, Yu-Min, 2016. "A nonparametric test of a strong leverage hypothesis," Journal of Econometrics, Elsevier, vol. 194(1), pages 153-186.
  49. Torben G. Andersen & Viktor Todorov, 2009. "Realized Volatility and Multipower Variation," CREATES Research Papers 2009-49, Department of Economics and Business Economics, Aarhus University.
  50. António A. F. Santos, 2015. "On the Forecasting of Financial Volatility Using Ultra-High Frequency Data," GEMF Working Papers 2015-17, GEMF, Faculty of Economics, University of Coimbra.
  51. Peter Reinhard Hansen & Guillaume Horel, 2009. "Quadratic Variation by Markov Chains," CREATES Research Papers 2009-13, Department of Economics and Business Economics, Aarhus University.
  52. Selma Chaker, 2013. "Volatility and Liquidity Costs," Staff Working Papers 13-29, Bank of Canada.
  53. BAUWENS, Luc & STORTI, Giuseppe, 2012. "Computationally efficient inference procedures for vast dimensional realized covariance models," LIDAM Discussion Papers CORE 2012028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  54. Holger Dette & Vasyl Golosnoy & Janosch Kellermann, 2023. "The effect of intraday periodicity on realized volatility measures," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(3), pages 315-342, April.
  55. Dimpfl, Thomas & Schweikert, Karsten, 2023. "Information shares for markets with partially overlapping trading hours," Journal of Banking & Finance, Elsevier, vol. 154(C).
  56. Patton, Andrew J., 2011. "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, vol. 160(1), pages 246-256, January.
  57. Ulrich Hounyo & Bezirgen Veliyev, 2016. "Validity of Edgeworth expansions for realized volatility estimators," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
  58. Kanaya, Shin & Otsu, Taisuke, 2012. "Large deviations of realized volatility," Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 546-581.
  59. Mikkel Bennedsen & Ulrich Hounyo & Asger Lunde & Mikko S. Pakkanen, 2016. "The Local Fractional Bootstrap," Papers 1605.00868, arXiv.org, revised Oct 2017.
  60. Ulrich Hounyo, 2014. "Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading," CREATES Research Papers 2014-35, Department of Economics and Business Economics, Aarhus University.
  61. Djellout, Hacène & Guillin, Arnaud & Samoura, Yacouba, 2017. "Estimation of the realized (co-)volatility vector: Large deviations approach," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 2926-2960.
  62. Shin, Dong Wan & Hwang, Eunju, 2015. "A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities," Economics Letters, Elsevier, vol. 129(C), pages 95-99.
  63. Mykland, Per A. & Zhang, Lan, 2016. "Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price," Journal of Econometrics, Elsevier, vol. 194(2), pages 242-262.
  64. Camponovo, Lorenzo & Matsushita, Yukitoshi & Otsu, Taisuke, 2019. "Empirical likelihood for high frequency data," LSE Research Online Documents on Economics 100320, London School of Economics and Political Science, LSE Library.
  65. Patton, Andrew J., 2011. "Data-based ranking of realised volatility estimators," Journal of Econometrics, Elsevier, vol. 161(2), pages 284-303, April.
  66. Hwang, Eunju & Shin, Dong Wan, 2013. "Stationary bootstrapping realized volatility," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2045-2051.
  67. Kalnina, Ilze, 2011. "Subsampling high frequency data," Journal of Econometrics, Elsevier, vol. 161(2), pages 262-283, April.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.