文章基本信息

标题：Stationary bootstrapping realized volatility under market microstructure noise
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作者：Eunju Hwang ; Dong Wan Shin
期刊名称：Electronic Journal of Statistics
印刷版ISSN：1935-7524
出版年度：2013
卷号：7
页码：2032-2053
DOI：10.1214/13-EJS834
语种：English
出版社：Institute of Mathematical Statistics
摘要：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.