[youtube https://www.youtube.com/watch?v=SXM7MpoVAD0?rel=0]

[youtube https://www.youtube.com/watch?v=BU2gjoLPfDc?rel=0]

It was bootstrapping that made me start off on my statistics journey years ago. I have very fond memories of the days when I could understand simple things in statistics without resorting to complicating looking formulae. A few lines of code were all that was needed. Slowly I became more curious about many things in statistics and that’s how my love affair with stats began. There are two bibles that any newbie to bootstrap should go over; one by Efron & Tibshirani and the other by Davison & Hinkley.

[youtube https://www.youtube.com/watch?v=h4Y26D3LmrE?rel=0]

The paper titled, “The imprecision volatility indexes”, analyzes VVIX, the vega weighted VIX, an estimate for the 30 day expected volatility. Market participants have always wanted some kind of quantitative measure for the volatility. CBOE introduced VIX based on the Black Scholes volatility of ATM options and later changed it to a method that is based on observed option prices. The latter method in the finance literature goes by the name, “model free method”, because it uses a replicating portfolio argument of pricing a variance swap.