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
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