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Stationary bootstrapping realized volatility

Title
Stationary bootstrapping realized volatility
Authors
Hwang E.Shin D.W.
Ewha Authors
신동완황은주
SCOPUS Author ID
신동완scopus; 황은주scopus
Issue Date
2013
Journal Title
Statistics and Probability Letters
ISSN
0167-7152JCR Link
Citation
Statistics and Probability Letters vol. 83, no. 9, pp. 2045 - 2051
Indexed
SCIE; SCOPUS WOS scopus
Document Type
Article
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
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