Stationary bootstrapping realized volatility

Eunju Hwang, Dong Wan Shin

Research output: Contribution to journalArticlepeer-review

5 Scopus citations


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.

Original languageEnglish
Pages (from-to)2045-2051
Number of pages7
JournalStatistics and Probability Letters
Issue number9
StatePublished - Sep 2013

Bibliographical note

Funding Information:
The authors are grateful to a referee for valuable comments. This work was supported by the National Research Foundation of Korea ( NRF-2012-2046157 ) through the National Research Foundation of Korea (NRF) funded by the Ministry of Education Science and Technology .


  • Confidence interval
  • Realized volatility
  • Stationary bootstrap


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