The local fractional bootstrap

DOI10.1111/SJOS.12355MaRDI QIDQ4629286zbMATH OpenOpenAlexFDO

Authors Mikkel Bennedsen, Ulrich Hounyo, Asger Lunde, Mikko S. Pakkanen

Publication date 21 March 2019

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.00868, http://hdl.handle.net/10044/1/62897

zbMATH Keywords

bootstraptime seriesfractional Brownian motionroughnessstochastic volatilityturbulenceBrownian semistationary processHölder regularity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Nonparametric statistical resampling methods (62G09) Markov processes: hypothesis testing (62M02) Applications of statistics to environmental and related topics (62P12) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

Abstract: We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an estimator based on a ratio of realized power variations. Our new resampling method, the local fractional bootstrap, relies on simulating an auxiliary fractional Brownian motion that mimics the fine properties of high frequency differences of the Brownian semistationary process under the null hypothesis. We prove the first order validity of the bootstrap method and in simulations we observe that the bootstrap-based hypothesis test provides considerable finite-sample improvements over an existing test that is based on a central limit theorem. This is important when studying the roughness properties of time series data; we illustrate this by applying the bootstrap method to two empirical data sets: we assess the roughness of a time series of high-frequency asset prices and we test the validity of Kolmogorov's scaling law in atmospheric turbulence data.

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Cited in

(6)

• On a local uniform bootstrap validity
• Inference for local distributions at high sampling frequencies: a bootstrap approach
• Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations
• Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
• Affine Volterra processes
• Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process

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