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Resampling Asset Prices: An Identity-Based Approach - Elements in Quantitative Finance Crump, Richard K. (Federal Reserve Bank of New York)
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Resampling Asset Prices: An Identity-Based Approach - Elements in Quantitative Finance
Crump, Richard K. (Federal Reserve Bank of New York)
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.
| Medios de comunicación | Libros Paperback Book (Libro con tapa blanda y lomo encolado) |
| Publicado | 23 de abril de 2026 |
| ISBN13 | 9781009738378 |
| Editores | Cambridge University Press |
| Páginas | 94 |
| Dimensiones | 152 × 229 × 5 mm · 203 g (Peso (estimado)) |
| Lengua | Inglés |
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