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Stationary bootstrapping realized volatility under market microstructure noise

Title
Stationary bootstrapping realized volatility under market microstructure noise
Authors
Hwang E.; Shin D.W.
Ewha Authors
신동완; 황은주
SCOPUS Author ID
신동완scopus; 황은주scopus
Issue Date
2013
Journal Title
Electronic Journal of Statistics
ISSN
1935-7524JCR Link
Citation
Electronic Journal of Statistics vol. 7, no. 1, pp. 2032 - 2053
Indexed
SCIE; SCOPUS WOS scopus
Document Type
Article
Abstract
Confidence interval; Market microstructure noise; Stationary bootstrap
DOI
10.1214/13-EJS834
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자연과학대학 > 통계학전공 > Journal papers
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