Stationary bootstrapping realized volatility

被引：8
|
作者：
Hwang, Eunju
Shin, Dong Wan [1 ]
机构：
[1] Ewha Womans Univ, Dept Stat, Seoul, South Korea
来源：
STATISTICS & PROBABILITY LETTERS | 2013年 / 83卷 / 09期
基金：
新加坡国家研究基金会;
关键词：
Confidence interval; Realized volatility; Stationary bootstrap; WEAK DEPENDENCE; CONSISTENCY; MODELS;
D O I：
10.1016/j.spl.2013.05.005
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：
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. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：2045 / 2051
页数：7
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