Bootstrapping high-frequency jump tests
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- 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.
- Dovonon, Prosper & Goncalves, Silvia & Hounyo, Ulrich & Meddahi, Nour, 2017. "Bootstrapping high-frequency jump tests," IDEI Working Papers 870, Institut d'Économie Industrielle (IDEI), Toulouse.
- Dovonon, Prosper & Goncalves, Silvia & Hounyo, Ulrich & Meddahi, Nour, 2017. "Bootstrapping high-frequency jump tests," TSE Working Papers 17-810, Toulouse School of Economics (TSE).
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- 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.
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- Kim Christensen & Ulrich Hounyo & Mark Podolskij, 2017. "Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment," CREATES Research Papers 2017-30, Department of Economics and Business Economics, Aarhus University.
- 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.
- Barunik, Jozef & Krehlik, Tomas & Vacha, Lukas, 2016.
"Modeling and forecasting exchange rate volatility in time-frequency domain,"
European Journal of Operational Research, Elsevier, vol. 251(1), pages 329-340.
- Jozef Barunik & Tomas Krehlik & Lukas Vacha, 2012. "Modeling and forecasting exchange rate volatility in time-frequency domain," Papers 1204.1452, arXiv.org, revised Feb 2015.
- Barunik, Jozef & Krehlik, Tomas & Vacha, Lukas, 2016. "Modeling and forecasting exchange rate volatility in time-frequency domain," FinMaP-Working Papers 55, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Barunik, Jozef & Vacha, Lukas, 2018.
"Do co-jumps impact correlations in currency markets?,"
Journal of Financial Markets, Elsevier, vol. 37(C), pages 97-119.
- Jozef Barunik & Lukas Vacha, 2016. "Do co-jumps impact correlations in currency markets?," Papers 1602.05489, arXiv.org, revised Oct 2017.
- Baruník Jozef & Fišer Pavel, 2024.
"Co-Jumping of Treasury Yield Curve Rates,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(3), pages 481-506.
- Jozef Barunik & Pavel Fiser, 2019. "Co-jumping of Treasury Yield Curve Rates," Papers 1905.01541, arXiv.org.
- Milan Ficura & Jiri Witzany, 2016. "Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 278-301, August.
- Ulrich Hounyo & Rasmus T. Varneskov, 2018. "Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach," CREATES Research Papers 2018-16, Department of Economics and Business Economics, Aarhus University.
- Zhang, Chuanhai & Liu, Zhi & Liu, Qiang, 2021. "Jumps at ultra-high frequency: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
- Markus Bibinger & Nikolaus Hautsch & Alexander Ristig, 2024. "Jump detection in high-frequency order prices," Papers 2403.00819, arXiv.org.
- 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.
- Kim Christensen & Ulrich Hounyo & Mark Podolskij, 2016. "Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach," CREATES Research Papers 2016-27, Department of Economics and Business Economics, Aarhus University.
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More about this item
Keywords
jumps; bootstrap; block multipower variation;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-05-14 (Econometrics)
- NEP-ETS-2016-05-14 (Econometric Time Series)
- NEP-MST-2016-05-14 (Market Microstructure)
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