Resampling Asset Prices

An Identity-Based Approach

Richard K. Crump, Nikolay Gospodinov (Autoren)

Buch | Softcover

75 Seiten

2026
Cambridge University Press (Verlag)
9781009738378 (ISBN)

Noch nicht erschienen (ca. Februar 2026)
Portofrei ab CHF 40
Auch auf Rechnung

Artikel merken

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.

1. Introduction; 2. Nominal Yield Curves; 3. Nominal and Real Yield Curves; 4. Equities; 5. Epilogue; List of Notation and Abbreviations.

Erscheint lt. Verlag	28.2.2026
Reihe/Serie	Elements in Quantitative Finance
Zusatzinfo	Worked examples or Exercises
Verlagsort	Cambridge
Sprache	englisch
Gewicht	250 g
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Rechnungswesen / Bilanzen
ISBN-13	9781009738378 / 9781009738378
Zustand	Neuware