Using Bootstrap In Some Volatility Models
Stochastic variance models where the logarithmic volatility is modelled by an ARMA process and models with conditional heteroscedasticity for daily returns are studied. Volatility of monthly relative changes computed as a product of daily changes is considered and estimated from daily observations by bootstrap. Asymptotic properties of bootstrap estimators and the consistency of the method are studied.
Volume (Year): 7 (2000)
Issue (Month): 11 ()
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