Capa do artigo Resampling Asset Prices

Resampling Asset Prices

An Identity-Based Approach

by Nikolay (Federal Reserve Bank Of Atlanta) Gospodinov e Richard K. (Federal Reserve Bank Of New York) Crump
language: english
Publisher: CAMBRIDGE UNIVERSITY PRESS, April of 2026 ‧
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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.

Resampling Asset Prices

An Identity-Based Approach

by Nikolay (Federal Reserve Bank Of Atlanta) Gospodinov e Richard K. (Federal Reserve Bank Of New York) Crump

Property Description
ISBN: 9781009738378
Publisher: CAMBRIDGE UNIVERSITY PRESS
Release Date: April of 2026
Language: English
Cover: Softcover
Pages: 94
Format: Book
Collection: Elements In Quantitative Finance
Categories: Books in English > Economics, Finance and Accounting > Finances
EAN: 9781009738378

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NIKOLAY (FEDERAL RESERVE BANK OF ATLANTA) GOSPODINOV

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RICHARD K. (FEDERAL RESERVE BANK OF NEW YORK) CRUMP

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