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2013 Stationary bootstrapping realized volatility under market microstructure noise
Eunju Hwang, Dong Wan Shin
Electron. J. Statist. 7: 2032-2053 (2013). DOI: 10.1214/13-EJS834

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.

Citation

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Eunju Hwang. Dong Wan Shin. "Stationary bootstrapping realized volatility under market microstructure noise." Electron. J. Statist. 7 2032 - 2053, 2013. https://doi.org/10.1214/13-EJS834

Information

Published: 2013
First available in Project Euclid: 20 August 2013

zbMATH: 1273.62249
MathSciNet: MR3091615
Digital Object Identifier: 10.1214/13-EJS834

Subjects:
Primary: 60G10, 62G09
Secondary: 62E20

Rights: Copyright © 2013 The Institute of Mathematical Statistics and the Bernoulli Society

JOURNAL ARTICLE
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