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20242026
most citedIs the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment

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math.ST2026

Bootstrap Inference under General Two-way Clustering with Serially and Spatially Dependent Common Effects

Ulrich Hounyo, Jiahao Lin

This paper develops bootstrap procedures for inference in linear regression models with two-way clustered data. We characterize the estimator's asymptotic behavior in five mutually…