Abstract
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.
Original language | English |
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Pages (from-to) | 2032-2053 |
Number of pages | 22 |
Journal | Electronic Journal of Statistics |
Volume | 7 |
Issue number | 1 |
DOIs | |
State | Published - 2013 |
Keywords
- Confidence interval
- Market microstructure noise
- Stationary bootstrap