Essec\Faculty\Model\Contribution {#2216 ▼
#_index: "academ_contributions"
#_id: "15427"
#_source: array:26 [
"id" => "15427"
"slug" => "15427-bumvu-estimators"
"yearMonth" => "2025-02"
"year" => "2025"
"title" => "BUMVU estimators"
"description" => "KOLOKOLOV, A., RENO, R. et ZOI, P. (2025). BUMVU estimators. <i>Journal of Econometrics</i>, In press, pp. 105942. 
KOLOKOLOV, A., RENO, R. et ZOI, P. (2025). BUMVU estimators. <i>Journal of Econometrics</i>, In pres "
"authors" => array:3 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "KOLOKOLOV Aleksey"
]
2 => array:1 [
"name" => "ZOI Patrick"
]
]
"ouvrage" => ""
"keywords" => array:7 [
0 => "Unbiased estimators"
1 => "Minimum variance"
2 => "Fixed block"
3 => "Nonparametric regression"
4 => "Integrated volatility powers"
5 => "Wild bootstrap"
6 => "Drift detection"
]
"updatedAt" => "2025-02-18 17:22:15"
"publicationUrl" => "https://doi.org/10.1016/j.jeconom.2024.105942"
"publicationInfo" => array:3 [
"pages" => "105942"
"volume" => "In press"
"number" => ""
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We provide necessary and sufficient conditions for an (Unbiased) Block estimator to have Uniformly Minimum Variance. Our theory parallels the theory of UMVU estimation, the main novel insight being the focus on the covariance among blocks. We use this theory to derive lower variance bounds for block estimators of functionals of high-frequency volatility when the block size is fixed. We further show the relevance of the new theory for the classical problem of estimation of homoskedastic nonparametric regressions with varying mean. Finally, we introduce a new test for the presence of drift in financial data which exploits the precision of BUMVU estimators. The test shows abundant presence of drift in financial data. We provide necessary and sufficient conditions for an (Unbiased) Block estimator to have Uniformly M "
"en" => "We provide necessary and sufficient conditions for an (Unbiased) Block estimator to have Uniformly Minimum Variance. Our theory parallels the theory of UMVU estimation, the main novel insight being the focus on the covariance among blocks. We use this theory to derive lower variance bounds for block estimators of functionals of high-frequency volatility when the block size is fixed. We further show the relevance of the new theory for the classical problem of estimation of homoskedastic nonparametric regressions with varying mean. Finally, we introduce a new test for the presence of drift in financial data which exploits the precision of BUMVU estimators. The test shows abundant presence of drift in financial data. We provide necessary and sufficient conditions for an (Unbiased) Block estimator to have Uniformly M "
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2025-04-04T04:21:39.000Z"
"docTitle" => "BUMVU estimators"
"docSurtitle" => "Journal articles"
"authorNames" => "<a href="/cv/reno-roberto">RENO Roberto</a>, KOLOKOLOV Aleksey, ZOI Patrick"
"docDescription" => "<span class="document-property-authors">RENO Roberto, KOLOKOLOV Aleksey, ZOI Patrick</span><br><span class="document-property-authors_fields">Information Systems, Data Analytics and Operations</span> | <span class="document-property-year">2025</span> <span class="document-property-authors">RENO Roberto, KOLOKOLOV Aleksey, ZOI Patrick</span><br><span "
"keywordList" => "<a href="#">Unbiased estimators</a>, <a href="#">Minimum variance</a>, <a href="#">Fixed block</a>, <a href="#">Nonparametric regression</a>, <a href="#">Integrated volatility powers</a>, <a href="#">Wild bootstrap</a>, <a href="#">Drift detection</a> <a href="#">Unbiased estimators</a>, <a href="#">Minimum variance</a>, <a href="#">Fixed block</a>, "
"docPreview" => "<b>BUMVU estimators</b><br><span>2025-02 | Journal articles </span>"
"docType" => "research"
"publicationLink" => "<a href="https://doi.org/10.1016/j.jeconom.2024.105942" target="_blank">BUMVU estimators</a>"
]
+lang: "en"
+"_type": "_doc"
+"_score": 8.819488
+"parent": null
}
