Resampling asset prices: an identity-based approach
Auteur :
Crump, Richard K. / Gospodinov, Nikolay
Éditeur :
Cambridge University Press
ISBN :
9781009738378
Date de publication :
30 avr. 2026
Poids :
250 g
Format :
Trade paperback (US)
Langue :
Anglais
Pays d'origine :
Grande Bretagne
The authors introduce a novel bootstrap approach to resampling asset price data that can be used for both finite-maturity assets and equities. The key insight is that they bootstrap primitive objects with more appealing statistical properties to avoid resampling series with strong time-series and cross-sectional dependence.