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Resampling and Subsampling for Financial Time Series

In: Handbook of Financial Time Series

Author

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  • Efstathios Paparoditis

    (University of Cyprus, Department of Mathematics and Statistics)

  • Dimitris N. Politis

    (University of California, Department of Mathematics)

Abstract

We review different methods of bootstrapping or subsampling financial time series.We first discuss methods that can be applied to generate pseudo-series of log-returns which mimic closely the essential dependence characteristics of the observed series. We then review methods that apply the bootstrap in order to infer properties of statistics based on financial times series. Such methods do not work by generating new pseudo-series of the observed log-returns but by generating pseudo-replicates of the statistic of interest. Finally, we discuss subsampling and self-normalization methods applied to financial data.

Suggested Citation

  • Efstathios Paparoditis & Dimitris N. Politis, 2009. "Resampling and Subsampling for Financial Time Series," Springer Books, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen (ed.), Handbook of Financial Time Series, chapter 42, pages 983-999, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-71297-8_42
    DOI: 10.1007/978-3-540-71297-8_42
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