Name: Resampling Asset Prices
Brand: Cambridge University Press
SKU: 9781009738392
Price: 9900 KES
Availability: OutOfStock
ISBN: 9781009738392

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.

Get Resampling Asset Prices by Nikolay Gospodinov, Richard K. Crump at the best price and quality guaranteed only at Werezi Africa's largest book ecommerce store. The book was published by Cambridge University Press and it has 94 pages.