Resampling and Subsampling for Financial Time Series

Efstathios Paparoditis () and Dimitris N. Politis ()
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Efstathios Paparoditis: University of Cyprus, Department of Mathematics and Statistics
Dimitris N. Politis: University of California, Department of Mathematics

Chapter 42 in Handbook of Financial Time Series, 2009, pp 983-999 from Springer

Abstract: 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.

Keywords: Time Series; Dependence Structure; Bootstrap Procedure; Stochastic Volatility Model; Nonparametric Estimator (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-71297-8_42

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DOI: 10.1007/978-3-540-71297-8_42

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