Ulrich Hounyo
Ulrich Hounyo is currently an Associate Professor of Economics at the University at Albany, SUNY. He obtained the PhD degree in economics from University of Montreal in 2013 after prior studies in Statistics and Economics at ENSEA-Abidjan, Ivory Coast.
He held a postdoctoral researcher position at CREATES and at Oxford-Man Institute of Quantitative Finance.
His current research interests include bootstrap methods, financial econometrics, time series and financial economics.
Ulrich Hounyo has published his research in leading academic journals such as Econometric Theory, The Econometrics Journal, Journal of Financial Econometrics, Journal of Econometrics, and Journal of American Statistical Association (forthcoming).
Hounyo, U. & Varneskov, R. T. (2020). Inference for local distributions at high sampling frequencies: A bootstrap approach. Journal of Econometrics, 215(1), 1-34. https://doi.org/10.1016/j.jeconom.2019.09.001
Hounyo, U. (2019). A local Gaussian bootstrap method for realized volatility and realized beta. Econometric Theory, 35(2), 360-416. https://doi.org/10.1017/S0266466618000129
Dovonon, P., Gonçalves, S., Hounyo, U. & Meddahi, N. (2019). Bootstrapping High-Frequency Jump Tests. Journal of the American Statistical Association, 114(526), 793-803. https://doi.org/10.1080/01621459.2018.1447485
Bennedsen, M., Hounyo, U., Lunde, A. & Pakkanen, M. S. (2019). The local fractional bootstrap. Scandinavian Journal of Statistics, 46(1), 329-359. https://doi.org/10.1111/sjos.12355
Christensen, K., Hounyo, U. & Podolskij, M. (2018). Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment. Journal of Econometrics, 205(2), 336-362. https://doi.org/10.1016/j.jeconom.2018.03.016
Hounyo, U. & Varneskov, R. T. (2017). A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation. Journal of Econometrics, 198(1), 10-28. https://doi.org/10.1016/j.jeconom.2017.01.002
Hounyo, U. (2017). Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. Journal of Econometrics, 197(1), 130–152. https://doi.org/10.1016/j.jeconom.2016.11.002
Hounyo, U., Gonçalves, S. & Meddahi, N. (2017). Bootstrapping pre-averaged realized volatility under market microstructure noise. Econometric Theory, 33(4), 791-838. https://doi.org/10.1017/S0266466616000281
Hounyo, U. & Veliyev, B. (2016). Validity of Edgeworth expansions for realized volatility estimators. Econometrics Journal, 19(1), 1-32. https://doi.org/10.1111/ectj.12058
Gonçalves, S., Hounyo, U. & Meddahi, N. (2014). Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns. Journal of Financial Econometrics, 12(4), 679-707. [nbu011]. https://doi.org/10.1093/jjfinec/nbu011
