Silvia Goncalves, Ulrich Hounyo, and Nour Meddahi, Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns, "Journal of financial econometrics", vol. 12, n. 4, 2014, pp. 679–707.


The main contribution of this article is to propose bootstrap methods for realized volatility-like estimators defined on pre-averaged returns. In particular, we focus on the pre-averaged realized volatility estimator proposed by Podolskij and Vetter (2009). This statistic can be written (up to a bias correction term) as the (scaled) sum of squared pre-averaged returns, where the pre-averaging is done over all possible nonoverlapping blocks of consecutive observations. Pre-averaging reduces the influence of the noise and allows for realized volatility estimation on the pre-averaged returns. The nonoverlapping nature of the pre-averaged returns implies that these are asymptotically uncorrelated, but possibly heteroskedastic. This motivates the application of the wild bootstrap in this context. 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 bootstrap can improve the finite sample properties of the existing first-order asymptotic theory provided we choose the external random variable appropriately. We use empirical work to illustrate its use in practice.


High-frequency data; Realized volatility; Pre-averaging; Market microstructure noise; Wild bootstrap;

JEL codes

  • C15: Statistical Simulation Methods: General
  • C22: Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models &bull Diffusion Processes