Hounyo, Ulrich - School of Economics and Management, University of Aarhus - 2014
In this paper, a new resampling procedure, called the wild tapered block bootstrap, is introduced as a means of …. The method consists in tapering each overlapping block of the series first, then applying the standard wild bootstrap for … favorable bias and mean squared error properties of the tapered block bootstrap, which is the state-of-the-art block …