DSpace at EWHA: Stationary bootstrapping realized volatility

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DC Field	Value	Language
dc.contributor.author	신동완	*
dc.contributor.author	황은주	*
dc.date.accessioned	2016-08-28T10:08:19Z	-
dc.date.available	2016-08-28T10:08:19Z	-
dc.date.issued	2013	*
dc.identifier.issn	0167-7152	*
dc.identifier.other	OAK-10322	*
dc.identifier.uri	https://dspace.ewha.ac.kr/handle/2015.oak/223924	-
dc.description.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.	*
dc.language	English	*
dc.title	Stationary bootstrapping realized volatility	*
dc.type	Article	*
dc.relation.issue	9	*
dc.relation.volume	83	*
dc.relation.index	SCIE	*
dc.relation.index	SCOPUS	*
dc.relation.startpage	2045	*
dc.relation.lastpage	2051	*
dc.relation.journaltitle	Statistics and Probability Letters	*
dc.identifier.doi	10.1016/j.spl.2013.05.005	*
dc.identifier.wosid	WOS:000322295000016	*
dc.identifier.scopusid	2-s2.0-84879145492	*
dc.author.google	Hwang E.	*
dc.author.google	Shin D.W.	*
dc.contributor.scopusid	신동완(7403352539)	*
dc.contributor.scopusid	황은주(23094221200)	*
dc.date.modifydate	20240116115756	*