Department of Economics and Business Economics

Ulrich Hounyo

  1. 2020
  2. Published

    Inference for local distributions at high sampling frequencies : A bootstrap approach. / Hounyo, Ulrich; Varneskov, Rasmus T.

    In: Journal of Econometrics, Vol. 215, No. 1, 03.2020, p. 1-34.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. 2019
  4. Published

    A local Gaussian bootstrap method for realized volatility and realized beta. / Hounyo, Ulrich.

    In: Econometric Theory, Vol. 35, No. 2, 2019, p. 360-416.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  5. Published

    Bootstrapping High-Frequency Jump Tests. / Dovonon, Prosper; Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour.

    In: Journal of the American Statistical Association, Vol. 114, No. 526, 2019, p. 793-803.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  6. Published

    The local fractional bootstrap. / Bennedsen, Mikkel; Hounyo, Ulrich; Lunde, Asger; Pakkanen, Mikko S.

    In: Scandinavian Journal of Statistics, Vol. 46, No. 1, 2019, p. 329-359.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  7. 2018
  8. Published

    Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment. / Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark.

    In: Journal of Econometrics, Vol. 205, No. 2, 2018, p. 336-362.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  9. 2017
  10. Published

    A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation. / Hounyo, Ulrich; Varneskov, Rasmus T.

    In: Journal of Econometrics, Vol. 198, No. 1, 2017, p. 10-28.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  11. Published

    Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. / Hounyo, Ulrich.

    In: Journal of Econometrics, Vol. 197, No. 1, 2017, p. 130–152.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  12. Published

    Bootstrapping pre-averaged realized volatility under market microstructure noise. / Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour.

    In: Econometric Theory, Vol. 33, No. 4, 2017, p. 791-838.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  13. 2016
  14. Published

    The Local Fractional Bootstrap. / Bennedsen, Mikkel; Hounyo, Ulrich; Lunde, Asger; Pakkanen, Mikko.

    Aarhus : Institut for Økonomi, Århus Universitet, 2016.

    Research output: Working paper/Preprint Working paperResearch

  15. Published

    Validity of Edgeworth expansions for realized volatility estimators. / Hounyo, Ulrich; Veliyev, Bezirgen.

    In: Econometrics Journal, Vol. 19, No. 1, 2016, p. 1-32.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  16. 2015
  17. Published

    A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation. / Hounyo, Ulrich; Varneskov, Rasmus T.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: Working paper/Preprint Working paperResearch

  18. Published

    Validity of Edgeworth expansions for realized volatility estimators. / Hounyo, Ulrich; Veliyev, Bezirgen.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: Working paper/Preprint Working paperResearch

  19. 2014
  20. Published

    Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading. / Hounyo, Ulrich.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper/Preprint Working paperResearch

  21. Published

    The wild tapered block bootstrap. / Hounyo, Ulrich.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper/Preprint Working paperResearch

  22. Published

    Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns. / Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour.

    In: Journal of Financial Econometrics, Vol. 12, No. 4, nbu011, 01.01.2014, p. 679-707.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review