Следене
Ulrich Hounyo
Ulrich Hounyo
Associate Professor, University at Albany, State University of New York
Потвърден имейл адрес: albany.edu - Начална страница
Заглавие
Позовавания
Позовавания
Година
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
K Christensen, U Hounyo, M Podolskij
Journal of Econometrics 205 (2), 336-362, 2018
392018
Bootstrapping high-frequency jump tests
P Dovonon, S Gonçalves, U Hounyo, N Meddahi
Journal of the American Statistical Association 114 (526), 793-803, 2019
332019
Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading
U Hounyo
Journal of Econometrics 197 (1), 130-152, 2017
252017
Bootstrapping pre-averaged realized volatility under market microstructure noise
U Hounyo, S Gonçalves, N Meddahi
Econometric Theory 33 (4), 791-838, 2017
232017
A local Gaussian bootstrap method for realized volatility and realized beta
U Hounyo
Econometric Theory 35 (2), 360-416, 2019
17*2019
Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
S Gonçalves, U Hounyo, N Meddahi
Journal of Financial Econometrics 12 (4), 679-707, 2014
142014
Validity of Edgeworth expansions for realized volatility estimators
U Hounyo, B Veliyev
The Econometrics Journal 19 (1), 1-32, 2016
132016
A wild bootstrap for dependent data
U Hounyo
Econometric Theory 39 (2), 264-289, 2023
10*2023
A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
U Hounyo, RT Varneskov
Journal of Econometrics 198 (1), 10-28, 2017
92017
Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
S Gonçalves, U Hounyo, AJ Patton, K Sheppard
Journal of Business & Economic Statistics, 1-12, 2022
82022
The local fractional bootstrap
M Bennedsen, U Hounyo, A Lunde, MS Pakkanen
Scandinavian Journal of Statistics 46 (1), 329-359, 2019
62019
Estimating the variance of a combined forecast: Bootstrap-based approach
U Hounyo, K Lahiri
Journal of Econometrics, 2021
52021
Bootstrapping Laplace transforms of volatility
U Hounyo, Z Liu, RT Varneskov
Available at SSRN 3523293, 2020
52020
Bootstrapping two'stage ex'tremum estimators
S Gonçalves, U Hounyo, AJ Patton, K Sheppard
Oxford-Man Institute of Quantitative Finance working paper, 2013
52013
Inference for local distributions at high sampling frequencies: A bootstrap approach
U Hounyo, RT Varneskov
Journal of Econometrics 215 (1), 1-34, 2020
32020
Are Some Forecasters Really Better than Others? A Note
U Hounyo, K Lahiri
Journal of Money, Credit and Banking, 2022
12022
Bootstrapping Laplace Transforms of Volatility: Supplementary Appendix
U Hounyo, Z Liu, RT Varneskov
Available at SSRN 4414552, 2023
2023
A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility1
R Varneskov, U Hounyo, Z Liu
Available at SSRN 4427186, 2023
2023
A modified wild bootstrap procedure for Laplace transforms of volatility
U Hounyo, Z Liu, RT Varneskov
Available at SSRN 4187049, 2022
2022
Misspecification-Robust Bootstrap t-Test for Irrelevant Factor in Linear Stochastic Discount Factor Models
A Djogbenou, U Hounyo
Available at SSRN 4031869, 2022
2022
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Статии 1–20