| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10525837 | Statistics & Probability Letters | 2013 | 7 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Eunju Hwang, Dong Wan Shin,