The Local Fractional Bootstrap

@article{Bennedsen2016TheLF,
  title={The Local Fractional Bootstrap},
  author={M. Bennedsen and Ulrich Hounyo and Asger Lunde and M. Pakkanen},
  journal={arXiv: Statistics Theory},
  year={2016}
}
We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an estimator based on a ratio of realized power variations. Our new resampling method, the local fractional bootstrap, relies on simulating an auxiliary fractional Brownian motion that mimics the fine properties of high frequency differences of the Brownian… Expand
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