Stationary bootstrap technique is applied for kernel-type estimators of densities and their derivatives of stationary ψ-weakly dependent processes. The ψ-weak dependence, introduced by Doukhan & Louhichi [Doukhan, P., Louhichi, S., 1999. A new weak dependence condition and applications to...

This work deals with the stationary bootstrap of Politis and Romano (1994) for theψ-weakly dependent sequences proposed by Doukhan and Louhichi (1999), establishing strong consistency of the bootstrap sample variance and the bootstrap sample mean under the dependence structure for the observed...

First order asymptotic validity is established for stationary bootstrapping of the realized volatility. This enables us to construct a bootstrapping confidence interval for integrated volatility. A Monte-Carlo experiment shows that stationary bootstrapping confidence interval is also valid in a...