Resampling Asset Prices: An Identity-Based Approach - Elements in Quantitative Finance - Crump, Richard K. (Federal Reserve Bank of New York) - Books - Cambridge University Press - 9781009738392 - April 23, 2026
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Crump, Richard K. (Federal Reserve Bank of New York)
Resampling Asset Prices: An Identity-Based Approach - Elements in Quantitative Finance

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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.

Media Books     Hardcover Book   (Book with hard spine and cover)
Released April 23, 2026
ISBN13 9781009738392
Publishers Cambridge University Press
Pages 94
Dimensions 152 × 229 × 6 mm   ·   235 g   (Weight (estimated))
Language English  

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