Volatility estimation and bootstrap

MaRDI QIDQ2769703zbMATH OpenFDO

Authors Zuzana Prášková

Publication date 10 June 2002

zbMATH Keywords

ARCHmonthly volatility

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Bootstrapping nonparametric estimators of the volatility function.
• Bootstrapping Realized Volatility
• The fixed volatility bootstrap for a class of \(\mathrm{ARCH}(q)\) models
• Bootstrapping realized multivariate volatility measures
• Bootstrap prediction for returns and volatilities in GARCH models

Cited in

(4)

• Bootstrapping nonparametric estimators of the volatility function.
• The fixed volatility bootstrap for a class of \(\mathrm{ARCH}(q)\) models
• Bootstrapping realized multivariate volatility measures
• Bootstrap prediction for returns and volatilities in GARCH models

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