Resampling asset prices : an identity-based approach / Richard K. Crump and Nikolay Gospodinov.

Format:

Book

Author/Creator:

Crump, Richard K., author.

Gospodinov, Nikolay, author.

Series:

Cambridge elements. Elements in quantitative finance

Cambridge elements. Elements in quantitative finance, 2631-8571

Language:

English

Subjects (All):

Investment analysis.

Resampling (Statistics).

Stocks--Prices.

Stocks.

Physical Description:

1 online resource.

Place of Publication:

Cambridge : Cambridge University Press, 2026.

Summary:

"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"-- Cambridge Core.

Contents:

Nominal yield curves

Nominal and real yield curves

Equities.

Notes:

Includes bibliographical references

Online resource; title from PDF title page (Cambridge Core, viewed April 9, 2026).

Other Format:

Print version: Crump, Richard K. Resampling asset prices

ISBN:

9781009738385

1009738380

9781009738361

1009738364

OCLC:

1570891605

Publisher Number:

CIPO000331883

CIPO000355853

Access Restriction:

Restricted for use by site license