19-083/III - Bootstrapping Non-Stationary Stochastic Volatility

• Authors
  Peter Boswijk, University of Amsterdam; Giuseppe Cavaliere, University of Bologna and Exeter Business School; Iliyan Georgiev, University of Bologna; Anders Rahbek, University of Copenhagen
• Publication date
  December 1, 2019

• Keywords
  Bootstrap, Non-stationary stochastic volatility, Random limit measures, Weak convergence in Distribution
• JEL
  C32