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Results 1-2 of 2 (Search time: 0.004 seconds).
Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
Hwang, Eunju
; Shin, Dong Wan
Article
Issue Date
2018
Citation
JOURNAL OF ECONOMETRICS, v.202, no.2, pp.178 - 195
Publisher
ELSEVIER SCIENCE SA
Stationary bootstrapping for realized covariations of high frequency financial data
Hwang, Eunju
; Shin, Dong Wan
Article
Issue Date
2017
Citation
STATISTICS, v.51, no.4, pp.844 - 861
Publisher
TAYLOR & FRANCIS LTD
1
Discover
Author
Hwang, Eun Ju
2
Shin, Dong Wan
2
Subject
Stationary bootstrap
2
CONSISTENCY
1
DIFFUSION-MODELS
1
ESTIMATORS
1
FINANCIAL ECONOMICS
1
High frequency data
1
HIGH-FREQUENCY DATA
1
INTEGRATED VOLATILITY
1
JUMPS
1
MARKET MICROSTRUCTURE NOISE
1
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Date Issued
2018
1
2017
1
Type
Article
2
Language
English
2
Journal
Journal of Econometrics
1
Statistics
1
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