Bootstrapping non-stationary stochastic volatility

DOI10.1016/J.JECONOM.2021.01.005MaRDI QIDQ2043261zbMATH OpenOpenAlexFDO

Authors H. Peter Boswijk, Giuseppe Cavaliere, Iliyan Georgiev, Anders Rahbek

Publication date 30 July 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2101.03562

zbMATH Keywords

bootstrapnon-stationary stochastic volatilityrandom limit measuresweak convergence in distribution

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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Cited in

(7)

• Testing for the presence of jump components in jump diffusion models
• Bootstrap tests for parametric volatility structure in nonparametric autoregression
• Stationary bootstrapping realized volatility under market microstructure noise
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
• Bootstrapping realized multivariate volatility measures
• Modeling Extreme Events: Time-Varying Extreme Tail Shape
• Testing in GARCH-X models: boundary, correlations and bootstrap theory

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