Isbn: 9781009738378 - resampling asset prices: an identity-based approach (elements in quantitative finance) (21 resultados)

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Paperback or Softback. Condición: New. Resampling Asset Prices. Book.

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Paperback. Condición: New. 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.…

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Paperback. Condición: New. 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.…

Condición: New. 2026. paperback. . . . . .

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Condición: New.

Paperback. Condición: New. 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.…

Taschenbuch. Condición: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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.…

Paperback. Condición: New. 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.…

Paperback. Condición: new. Paperback. 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. 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. This item is printed on demand. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.…

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Paperback. Condición: new. Paperback. 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. 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. This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.…

Paperback. Condición: new. Paperback. 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. 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. This item is printed on demand. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.…

Taschenbuch. Condición: Neu. Resampling Asset Prices | Richard K. Crump (u. a.) | Taschenbuch | Englisch | 2026 | Cambridge University Press | EAN 9781009738378 | Verantwortliche Person für die EU: Libri GmbH, Europaallee 1, 36244 Bad Hersfeld, gpsr[at]libri[dot]de | Anbieter: preigu Print on Demand.…