Bootstrapping autocorrelated financial time series

被引：0
|
作者：
Norsworthy, JR [1 ]
Demirel, O [1 ]
Gorener, R [1 ]
机构：
[1] Rensselaer Polytech Inst, Lally Sch Management & Technol, Ctr Finance & Technol, Troy, NY 12180 USA
来源：
IEMC'01: CHANGE MANAGEMENT AND THE NEW INDUSTRIAL REVOLUTION, PROCEEDINGS | 2001年
关键词：
D O I：
10.1109/IEMC.2001.960580
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
Bootstrap replications of financial time series are used to test the efficacy of portfolio selection algorithms, arbitrage strategies, and other risk management techniques. This paper shows several methods for bootstrapping financial time series with the objective of preserving autocorrelation structure and allowing time-varying variance in the replicated series. The replicated series are tested in terms of their resulting distributions by two methods: comparison of the distributions' moments and the autocorrelation coefficients.
引用
收藏
页码：430 / 439
页数：10
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