Stationary bootstrapping realized volatility

Eunju Hwang; Dong Wan Shin

doi:10.1016/j.spl.2013.05.005

Stationary bootstrapping realized volatility

Eunju Hwang, Dong Wan Shin

Department of Statistics

Research output: Contribution to journal › Article › peer-review

5 Scopus citations

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
Pages (from-to)	2045-2051
Number of pages	7
Journal	Statistics and Probability Letters
Volume	83
Issue number	9
DOIs	https://doi.org/10.1016/j.spl.2013.05.005
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

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10.1016/j.spl.2013.05.005

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title = "Stationary bootstrapping realized volatility",

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.",

keywords = "Confidence interval, Realized volatility, Stationary bootstrap",

author = "Eunju Hwang and Shin, \{Dong Wan\}",

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 . ",

year = "2013",

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doi = "10.1016/j.spl.2013.05.005",

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AU - Hwang, Eunju

AU - Shin, Dong Wan

N1 - 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 .

PY - 2013/9

Y1 - 2013/9

N2 - 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.

AB - 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.

KW - Confidence interval

KW - Realized volatility

KW - Stationary bootstrap

UR - https://www.scopus.com/pages/publications/84879145492

U2 - 10.1016/j.spl.2013.05.005

DO - 10.1016/j.spl.2013.05.005

M3 - Article

AN - SCOPUS:84879145492

SN - 0167-7152

VL - 83

SP - 2045

EP - 2051

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 9

ER -

Stationary bootstrapping realized volatility

Abstract

Bibliographical note

Keywords

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