Bootstrapping volatility functionals: a local and nonparametric perspective | |
Kong, Xin-Bing1; Xu, Shao-Jun2; Zhou, Wang3 | |
刊名 | BIOMETRIKA |
2018-06 | |
卷号 | 105期号:2页码:463-469 |
关键词 | Bootstrap Ito process Realized volatility functional |
ISSN号 | 0006-3444 |
DOI | 10.1093/biomet/asy002 |
英文摘要 | Volatility functionals are widely used in financial econometrics. In the literature, they are estimated with realized volatility functionals using high-frequency data. In this paper we introduce a nonparametric local bootstrap method that resamples the high-frequency returns with replacement in local windows shrinking to zero. While the block bootstrap in time series (Hall et al., 1995) aims to reduce correlation, the local bootstrap is intended to eliminate the heterogeneity of volatility. We prove that the local bootstrap distribution of the studentized realized volatility functional is first-order accurate. We present Edgeworth expansions of the studentized realized variance with and without local bootstrapping in the absence of the leverage effect and jumps. The expansions show that the local bootstrap distribution of the studentized realized variance is second-order accurate. Extensive simulation studies verify the theory. |
WOS研究方向 | Life Sciences & Biomedicine - Other Topics ; Mathematical & Computational Biology ; Mathematics |
语种 | 英语 |
出版者 | OXFORD UNIV PRESS |
WOS记录号 | WOS:000434111200015 |
内容类型 | 期刊论文 |
源URL | [http://10.2.47.112/handle/2XS4QKH4/613] |
专题 | 上海财经大学 |
通讯作者 | Kong, Xin-Bing |
作者单位 | 1.Nanjing Audit Univ, Sch Sci, 86 Yu Shan Xi Lu, Nanjing 211815, Jiangsu, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Stat & Management, 318 Wuchuan Rd, Shanghai 200433, Peoples R China; 3.Natl Univ Singapore, Dept Stat & Appl Probabil, 21 Lower Kent Ridge Rd, Singapore 117546, Singapore |
推荐引用方式 GB/T 7714 | Kong, Xin-Bing,Xu, Shao-Jun,Zhou, Wang. Bootstrapping volatility functionals: a local and nonparametric perspective[J]. BIOMETRIKA,2018,105(2):463-469. |
APA | Kong, Xin-Bing,Xu, Shao-Jun,&Zhou, Wang.(2018).Bootstrapping volatility functionals: a local and nonparametric perspective.BIOMETRIKA,105(2),463-469. |
MLA | Kong, Xin-Bing,et al."Bootstrapping volatility functionals: a local and nonparametric perspective".BIOMETRIKA 105.2(2018):463-469. |
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