Stationary bootstrapping realized volatility under market microstructure noise

被引：7

作者：

Hwang, Eunju ^{[1
]}

Shin, Dong Wan

机构：

[1] Ewha Womans Univ, Inst Math Sci, Seoul, South Korea

来源：

ELECTRONIC JOURNAL OF STATISTICS | 2013年 / 7卷

基金：

新加坡国家研究基金会;

关键词：

Confidence interval; market microstructure noise; stationary bootstrap; HIGH-FREQUENCY DATA; WEAK DEPENDENCE; VARIANCE; CONSISTENCY;

D O I：

10.1214/13-EJS834

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Large-sample validity is proved for stationary bootstrapping of a bias-corrected realized volatility under market microstructure noise, which enables us to construct a bootstrap confidence interval of integrated volatility. A finite-sample simulation shows that the stationary bootstrapping confidence interval outperforms existing ones which are constructed ignoring market microstructure noise or using asymptotic normality for the bias-corrected realized volatility.

引用

页码：2032 / 2053

页数：22

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