Bootstrapping volatility functionals: a local and nonparametric perspective

doi:10.1093/biomet/asy002

CORC > 上海财经大学 > 上海财经大学

	Bootstrapping volatility functionals: a local and nonparametric perspective
	Kong, Xin-Bing 1; Xu, Shao-Jun 2; Zhou, Wang 3
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.