Abstract
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 language | English |
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Pages (from-to) | 2045-2051 |
Number of pages | 7 |
Journal | Statistics and Probability Letters |
Volume | 83 |
Issue number | 9 |
DOIs | |
State | Published - 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 .
Keywords
- Confidence interval
- Realized volatility
- Stationary bootstrap