Dovonon, Prosper and Goncalves, Silvia and Meddahi, Nour (2010): Bootstrapping realized multivariate volatility measures.
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We study bootstrap methods for statistics that are a function of multivariate high frequency returns such as realized regression coefficients and realized covariances and correlations. For these measures of covariation, the Monte Carlo simulation results of Barndorff-Nielsen and Shephard (2004) show that finite sample distortions associated with their feasible asymptotic theory approach may arise if sampling is not too frequent. This motivates our use of the bootstrap as an alternative tool of inference for covariation measures. We consider an i.i.d. bootstrap applied to the vector of returns. 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 heteroskedasticity in the error term, the Edgeworth expansion for the i.i.d. 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.
|Item Type:||MPRA Paper|
|Original Title:||Bootstrapping realized multivariate volatility measures|
|Keywords:||Realized regression, realized beta, realized correlation, bootstrap, Edgeworth expansions|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||Prosper Dovonon|
|Date Deposited:||18. Jul 2012 10:04|
|Last Modified:||12. Feb 2013 06:13|
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