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 |
|---|---|
| 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