Department of Economics and Business Economics

The local fractional bootstrap

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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 semistationary process under the null hypothesis. We prove the first-order validity of the bootstrap method, and in simulations, we observe that the bootstrap-based hypothesis test provides considerable finite-sample improvements over an existing test that is based on a central limit theorem. This is important when studying the roughness properties of time series data. We illustrate this by applying the bootstrap method to two empirical data sets: We assess the roughness of a time series of high-frequency asset prices and we test the validity of Kolmogorov's scaling law in atmospheric turbulence data.

Original languageEnglish
JournalScandinavian Journal of Statistics
Pages (from-to)329-359
Publication statusPublished - 2019

    Research areas

  • bootstrap, Brownian semistationary process, fractional Brownian motion, Hölder regularity, roughness, stochastic volatility, turbulence

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