Department of Economics and Business Economics

Bootstrapping pre-averaged realized volatility under market microstructure noise

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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

Harvard

Hounyo, U, Gonçalves, S & Meddahi, N 2017, 'Bootstrapping pre-averaged realized volatility under market microstructure noise', Econometric Theory, vol. 33, no. 4, pp. 791-838. https://doi.org/10.1017/S0266466616000281

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Author

Hounyo, Ulrich ; Gonçalves, Sílvia ; Meddahi, Nour. / Bootstrapping pre-averaged realized volatility under market microstructure noise. In: Econometric Theory. 2017 ; Vol. 33, No. 4. pp. 791-838.

Bibtex

@article{ac9819980d73469cb1ec0dc586b740a0,
title = "Bootstrapping pre-averaged realized volatility under market microstructure noise",
author = "Ulrich Hounyo and S{\'i}lvia Gon{\c c}alves and Nour Meddahi",
year = "2017",
doi = "10.1017/S0266466616000281",
language = "English",
volume = "33",
pages = "791--838",
journal = "Econometric Theory",
issn = "0266-4666",
publisher = "Cambridge University Press",
number = "4",

}

RIS

TY - JOUR

T1 - Bootstrapping pre-averaged realized volatility under market microstructure noise

AU - Hounyo, Ulrich

AU - Gonçalves, Sílvia

AU - Meddahi, Nour

PY - 2017

Y1 - 2017

U2 - 10.1017/S0266466616000281

DO - 10.1017/S0266466616000281

M3 - Journal article

VL - 33

SP - 791

EP - 838

JO - Econometric Theory

JF - Econometric Theory

SN - 0266-4666

IS - 4

ER -