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  • 标题:Stationary bootstrapping realized volatility under market microstructure noise
  • 本地全文:下载
  • 作者:Eunju Hwang ; Dong Wan Shin
  • 期刊名称:Electronic Journal of Statistics
  • 印刷版ISSN:1935-7524
  • 出版年度:2013
  • 卷号:7
  • 页码:2032-2053
  • DOI:10.1214/13-EJS834
  • 语种:English
  • 出版社:Institute of Mathematical Statistics
  • 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.
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