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Resampling Asset Prices

Autor Richard K. Crump, Nikolay Gospodinov
en Limba Engleză Paperback – 30 mar 2026
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.
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Specificații

ISBN-13: 9781009738378
ISBN-10: 1009738372
Pagini: 94
Dimensiuni: 152 x 229 x 6 mm
Greutate: 0.15 kg
Editura: Cambridge University Press