Department of Economics and Business Economics

Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading

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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

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@article{5f5cc61d758e48a7a336c4aefdec8de8,
title = "Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading",
author = "Ulrich Hounyo",
year = "2017",
doi = "10.1016/j.jeconom.2016.11.002",
language = "English",
volume = "197",
pages = "130–152",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",
number = "1",

}

RIS

TY - JOUR

T1 - Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading

AU - Hounyo, Ulrich

PY - 2017

Y1 - 2017

U2 - 10.1016/j.jeconom.2016.11.002

DO - 10.1016/j.jeconom.2016.11.002

M3 - Journal article

VL - 197

SP - 130

EP - 152

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -