View : 27 Download: 0

Stationary bootstrapping realized volatility

Title
Stationary bootstrapping realized volatility
Authors
Hwang E.Shin D.W.
Ewha Authors
신동완황은주
SCOPUS Author ID
신동완scopus
Issue Date
2013
Journal Title
Statistics and Probability Letters
ISSN
0167-7152JCR Link
Citation
vol. 83, no. 9, pp. 2045 - 2051
Indexed
SCIE; SCOPUS WOS scopus
Abstract
First order asymptotic validity is established for stationary bootstrapping of the realized volatility. This enables us to construct a bootstrapping confidence interval for integrated volatility. A Monte-Carlo experiment shows that stationary bootstrapping confidence interval is also valid in a finite sample. © 2013 Elsevier B.V.
DOI
10.1016/j.spl.2013.05.005
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE