Resampling Asset Prices: An Identity-Based Approach

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Richard K. Crump (Federal Reserve Bank of New York) Nikolay Gospodinov (Federal Reserve Bank of Atlanta)

Resampling Asset Prices

Name: Resampling Asset Prices
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ISBN: 9781009738378

An Identity-Based Approach

Richard K. Crump (Federal Reserve Bank of New York), Nikolay Gospodinov (Federal Reserve Bank of Atlanta)

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English

Cambridge University Press
23 April 2026

Financial reporting, financial statements; Investment & securities

Series: Elements in Quantitative Finance

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. They then recover the original dependence structure in an internally consistent manner via definitional identities. Their bootstrap is nonparametric in nature and so avoids the common practice of committing to a tightly parameterized pricing model with explicit assumptions on the form of cross-sectional and time-series dependence. They demonstrate the appealing finite-sample properties of their bootstrap approach in a series of simulation experiments and empirical applications.

By: Richard K. Crump (Federal Reserve Bank of New York), Nikolay Gospodinov (Federal Reserve Bank of Atlanta)
Imprint: Cambridge University Press
Country of Publication: United Kingdom
Dimensions: Height: 229mm, Width: 152mm, Spine: 5mm
Weight: 166g
ISBN: 9781009738378
ISBN 10: 1009738372
Series: Elements in Quantitative Finance
Pages: 94
Publication Date: 23 April 2026
Audience: General/trade , ELT Advanced
Format: Paperback
Publisher's Status: Active

1. Introduction; 2. Nominal Yield Curves; 3. Nominal and Real Yield Curves; 4. Equities; 5. Epilogue; List of Notation and Abbreviations.