Bootstrapping non-stationary stochastic volatility

DOI10.1016/j.jeconom.2021.01.005OpenAlexW3135287066MaRDI QIDQ2043261

Iliyan Georgiev, Giuseppe Cavaliere, Anders Rahbek, H. Peter Boswijk

Publication date: 30 July 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.03562

zbMATH Keywords

bootstrapnon-stationary stochastic volatilityrandom limit measuresweak convergence in distribution

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Testing for the presence of jump components in jump diffusion models

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