Resampling Asset Prices
An Identity-Based Approach
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.
Specificaties
| ISBN/EAN | 9781009738378 |
| Auteur | Richard K. (Federal Reserve Bank of New York) Crump |
| Uitgever | Van Ditmar Boekenimport B.V. |
| Taal | Engels |
| Uitvoering | Paperback / gebrocheerd |
| Pagina's | 75 |
| Lengte | |
| Breedte |