Bootstrapping autocorrelated financial time series

Author

Norsworthy, John R. ; Demirel, Omer ; Gorener, Rifat

Author_Institution

Lally Sch. of Manage. & Technol., Rensselaer Polytech. Inst., Troy, NY, USA

fYear

2001

fDate

6/23/1905 12:00:00 AM

Firstpage

430

Lastpage

439

Abstract

Bootstrap replications of financial time series are used to test the efficacy of portfolio selection algorithms, arbitrage strategies, and other risk management techniques. This paper shows several methods for bootstrapping financial time series with the objective of preserving autocorrelation structure and allowing time-varying variance in the replicated series. The replicated series are tested in terms of their resulting distributions by two methods: comparison of the distributions´ moments and the autocorrelation coefficients

Keywords

finance; risk management; time series; arbitrage strategies; autocorrelated financial time series; autocorrelation coefficients; autocorrelation structure preservation; bootstrap replications; data sources; data transformations; distributions´ moments; moving block bootstrap technique; optimal block size; portfolio selection algorithms efficacy; replicated series; risk management techniques; time-varying variance; Autocorrelation; Economic forecasting; Finance; Financial management; Frequency; Macroeconomics; Portfolios; Risk management; Sampling methods; Testing;

fLanguage

English

Publisher

ieee

Conference_Titel

Change Management and the New Industrial Revolution, 2001. IEMC '01 Proceedings.

Conference_Location

Albany, NY

Print_ISBN

0-7803-7260-3

Type

conf

DOI

10.1109/IEMC.2001.960580

Filename

960580