Bootstrapping realized multivariate volatility measures
We propose a bootstrap method for statistics that are a function of multivariate high frequency returns such as realized regression, covariance and correlation coefficients. We show that the finite sample performance of the bootstrap is superior to the existing first-order asymptotic theory. Neverth...
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| Published in | Journal of econometrics Vol. 172; no. 1; pp. 49 - 65 |
|---|---|
| Main Authors | , , |
| Format | Journal Article |
| Language | English |
| Published |
Amsterdam
Elsevier B.V
01.01.2013
Elsevier Elsevier Sequoia S.A |
| Subjects | |
| Online Access | Get full text |
| ISSN | 0304-4076 1872-6895 1872-6895 |
| DOI | 10.1016/j.jeconom.2012.08.003 |
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| Abstract | We propose a bootstrap method for statistics that are a function of multivariate high frequency returns such as realized regression, covariance and correlation coefficients. We show that the finite sample performance of the bootstrap is superior to the existing first-order asymptotic theory. Nevertheless, and contrary to the existing results in the bootstrap literature for regression models subject to error heteroskedasticity, the Edgeworth expansion for the pairs bootstrap that we develop here shows that this method is not second-order accurate. We argue that this is due to the fact that the conditional mean parameters of realized regression models are heterogeneous under stochastic volatility. |
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| AbstractList | We propose a bootstrap method for statistics that are a function of multivariate high frequency returns such as realized regression, covariance and correlation coefficients. We show that the finite sample performance of the bootstrap is superior to the existing first-order asymptotic theory. Nevertheless, and contrary to the existing results in the bootstrap literature for regression models subject to error heteroskedasticity, the Edgeworth expansion for the pairs bootstrap that we develop here shows that this method is not second-order accurate. We argue that this is due to the fact that the conditional mean parameters of realized regression models are heterogeneous under stochastic volatility. We propose a bootstrap method for statistics that are a function of multivariate high frequency returns such as realized regression, covariance and correlation coefficients. We show that the finite sample performance of the bootstrap is superior to the existing first-order asymptotic theory. Nevertheless, and contrary to the existing results in the bootstrap literature for regression models subject to error heteroskedasticity, the Edgeworth expansion for the pairs bootstrap that we develop here shows that this method is not second-order accurate. We argue that this is due to the fact that the conditional mean parameters of realized regression models are heterogeneous under stochastic volatility. All rights reserved, Elsevier We propose a bootstrap method for statistics that are a function of multivariate high frequency returns such as realized regression, covariance and correlation coefficients. We show that the finite sample performance of the bootstrap is superior to the existing first-order asymptotic theory. Nevertheless, and contrary to the existing results in the bootstrap literature for regression models subject to error heteroskedasticity, the Edgeworth expansion for the pairs bootstrap that we develop here shows that this method is not second-order accurate. We argue that this is due to the fact that the conditional mean parameters of realized regression models are heterogeneous under stochastic volatility. [PUBLICATION ABSTRACT] |
| Author | Gonçalves, Sílvia Dovonon, Prosper Meddahi, Nour |
| Author_xml | – sequence: 1 givenname: Prosper surname: Dovonon fullname: Dovonon, Prosper email: prosper.dovonon@concordia.ca organization: Department of Economics, Concordia University, 1455 de Maisonneuve Blvd. West, H 1155, Montreal, Quebec, H3G 1M8, Canada – sequence: 2 givenname: Sílvia surname: Gonçalves fullname: Gonçalves, Sílvia email: silvia.goncalves@umontreal.ca organization: Département de sciences économiques, CIREQ and CIRANO, Université de Montréal, C.P. 6128, succ. Centre-Ville, Montréal, QC, H3C 3J7, Canada – sequence: 3 givenname: Nour surname: Meddahi fullname: Meddahi, Nour email: nour.meddahi@tse-fr.eu, meddahi@cict.fr organization: Toulouse School of Economics, 21 Allée de Brienne, 31000 Toulouse, France |
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| Keywords | Edgeworth expansions C12 C15 C14 Bootstrap Realized correlation Realized regression Realized beta |
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| SubjectTerms | Asymptotic methods Bootstrap Bootstrap mechanism Bootstrap method Coefficient of correlation correlation covariance econometrics Edgeworth expansions heteroskedasticity Multivariate analysis Realized beta Realized correlation Realized regression Regression analysis Stochastic processes Studies Volatility |
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| Title | Bootstrapping realized multivariate volatility measures |
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