Search Results - subject:"Block Bootstrap"

Inference in VARs with Conditional Heteroskedasticity of Unknown Form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - Abteilung für Volkswirtschaftslehre, Universität Mannheim - 2014

moments' structure of the error terms. In contrast, the residual-based moving block bootstrap results in asymptotically valid …

Persistent link: https://www.econbiz.de/10010986691

Inference in VARs with Conditional Heteroskedasticity of Unknown Form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2014

moments' structure of the error terms. In contrast, the residual-based moving block bootstrap results in asymptotically valid …

Persistent link: https://www.econbiz.de/10011070846

The wild tapered block bootstrap

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 … favorable bias and mean squared error properties of the tapered block bootstrap, which is the state-of-the-art block … functions of means, and M-estimators. The first-order asymptotic validity of the tapered block bootstrap as well as the wild …

Persistent link: https://www.econbiz.de/10010928899

Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading

Hounyo, Ulrich - School of Economics and Management, University of Aarhus - 2014

We propose a bootstrap method for estimating the distribution (and functionals of it such as the variance) of various integrated covariance matrix estimators. In particular, we first adapt the wild blocks of blocks bootstrap method suggested for the pre-averaged realized volatility estimator to...

Persistent link: https://www.econbiz.de/10010937808

Inference in VARs with conditional heteroskedasticity of unknown form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - 2014

moments' structure of the error terms. In contrast, the residual-based moving block bootstrap results in asymptotically valid …

Persistent link: https://www.econbiz.de/10011490564

A survey of recent advances in forecast accuracy comparison testing, with an extension to stochastic dominance

Corradi, Valentina; Swanson, Norman - 2013

In recent years, an impressive body or research on predictive accuracy testing and model comparison has been published in the econometrics discipline. Key contributions to this literature include the paper by Diebold and Mariano (DM: 1995) that sets the groundwork for much of the subsequent work...

Persistent link: https://www.econbiz.de/10010334261

Density and conditional distribution based specification analysis

Duong, Diep; Swanson, Norman - 2013

spirit of the conditional Kolmogorov test of Andrews (1997) that rely on block bootstrap resampling methods in order to …

Persistent link: https://www.econbiz.de/10010334264

Maximum Entropy Bootstrap Algorithm Enhancements

Vinod, Hrishikesh D. - Economics Department, Fordham University - 2013

While moving block bootstrap (MBB) has been used for mildly dependent (m-dependent) time series, maximum entropy (ME …

Persistent link: https://www.econbiz.de/10011183102

Bootstrapping pre-averaged realized volatility under market microstructure noise

Hounyo, Ulrich; Goncalves, Sílvia; Meddahi, Nour - School of Economics and Management, University of Aarhus - 2013

The main contribution of this paper is to propose a bootstrap method for inference on integrated volatility based on the pre-averaging approach of Jacod et al. (2009), where the pre-averaging is done over all possible overlapping blocks of consecutive observations. The overlapping nature of the...

Persistent link: https://www.econbiz.de/10010851203

Robust block bootstrap panel predictability tests

Westerlund, Joakim; Smeekes, Stephan - 2013

Persistent link: https://www.econbiz.de/10010199463