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Bootstrapping volatility spillover index

Title
Bootstrapping volatility spillover index
Authors
Choi, Ji-EunShin, Dong Wan
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2020
Journal Title
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
ISSN
0361-0918JCR Link

1532-4141JCR Link
Citation
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION vol. 49, no. 1, pp. 66 - 78
Keywords
BootstrappingConfidence intervalPivotResidual bootstrappingVolatility spillover
Publisher
TAYLOR &

FRANCIS INC
Indexed
SCIE; SCOPUS WOS scopus
Document Type
Article
Abstract
Concentrating on confidence interval, a bootstrapping method is developed for volatility spillover index proposed by Diebold and Yilmaz via a vector autoregressive (VAR) model. The method is based on residual based bootstrapping with normal pivot which is a winner of a Monte-Carlo comparison of several possibly competitive methods. The Monte-Carlo simulation demonstrates finite sample validity of the bootstrap confidence interval. The proposed method is illustrated by standard errors and confidence interval estimation for the volatility spillover indexes of various financial real data sets.
DOI
10.1080/03610918.2018.1476696
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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