Resampling Asset Prices : An Identity-Based Approach
Book Details
Format
Paperback / Softback
Book Series
Elements in Quantitative Finance
ISBN-10
1009738372
ISBN-13
9781009738378
Publisher
Cambridge University Press
Imprint
Cambridge University Press
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Apr 23rd, 2026
Print length
94 Pages
Weight
25 grams
Dimensions
22.90 x 15.20 x 0.50 cms
Product Classification:
Financial reporting, financial statementsInvestment & securitiesInvestment and securities
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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.
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. They then recover the original dependence structure in an internally consistent manner via definitional identities. Their bootstrap is nonparametric in nature and so avoids the common practice of committing to a tightly parameterized pricing model with explicit assumptions on the form of cross-sectional and time-series dependence. They demonstrate the appealing finite-sample properties of their bootstrap approach in a series of simulation experiments and empirical applications.
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