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- W3125346585 abstract "The main contribution of this paper is to propose a bootstrap method for inference on integrated volatility based on the pre-averaging approach, where the pre-averaging is done over all possible overlapping of consecutive observations. The overlapping nature of the pre-averaged returns implies that the leading martingale part in the pre-averaged returns are kn-dependent with kn growing slowly with the sample size n. This motivates the application of a blockwise bootstrap method. We show that the blocks of blocks bootstrap method is not valid when volatility is time-varying. The failure of the of bootstrap is due to the heterogeneity of the squared pre-averaged returns when volatility is stochastic. To preserve both the dependence and the heterogeneity of squared pre-averaged returns, we propose a novel procedure that combines the wild bootstrap with the of bootstrap. We provide a proof of the first order asymptotic validity of this method for percentile and percentile-t intervals. Our Monte Carlo simulations show that the wild of bootstrap improves the finite sample properties of the existing first order asymptotic theory. We use empirical work to illustrate its use in practice." @default.
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- W3125346585 date "2016-05-09" @default.
- W3125346585 modified "2023-10-17" @default.
- W3125346585 title "Bootstrapping pre-averaged realized volatility under market microstructure noise" @default.
- W3125346585 hasPublicationYear "2016" @default.
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