Search Results - subject:"Block Bootstrapping"

Estimating tail risk in ultra-high-frequency cryptocurrency data

Giannopoulos, Kostas; Nekhili, Ramzi; … - 2024

standardized historical returns resampled with the method of block bootstrapping, which helps to capture any hidden dependencies in …

Persistent link: https://www.econbiz.de/10015338207

Spatio-Temporal Modeling of Southern Pine Beetle Outbreaks with a Block Bootstrapping Approach

Chen, Xuan; Goodwin, Barry K. - 2011

SPB outbreak frequency in a spatio-temporal framework. A block bootstrapping method with zero-inflated estimation has been … series scenario (Kunsch 1989) and block bootstrapping method of dependent data from a spatial map (Hall 1985), we have …. To accommodate this issue, the zero-inflated models are adopted in the estimation stage. With our saptio-temporal block …

Persistent link: https://www.econbiz.de/10009444330

Asymmetric Loss Functions and the Rationality of Expected Stock Returns

Aretz, Kevin; Bartram, Söhnke M.; Pope, Peter F. - Volkswirtschaftliche Fakultät, … - 2011

We combine the innovative approaches of Elliott, Komunjer, and Timmermann (2005) and Patton and Timmermann (2007) with a block bootstrap to analyze whether asymmetric loss functions can rationalize the S&P 500 return expectations of individual forecasters from the Livingston Surveys. Although...

Persistent link: https://www.econbiz.de/10011113557

Spatio-Temporal Modeling of Southern Pine Beetle Outbreaks with a Block Bootstrapping Approach

Chen, Xuan; Goodwin, Barry K. - Agricultural and Applied Economics Association - AAEA - 2011

Persistent link: https://www.econbiz.de/10009020977

Threshold Cointegration: Model Selection with an Application

Sephton, Peter; Mann, Janelle - In: Journal of Economics and Econometrics 56 (2013) 2, pp. 54-77

In this article we examine the performance of an extended approach to testing for threshold cointegration that relies on the threshold specification process suggested by Gonzalo and Pitarakis (2002) and the block-bootstrap threshold unit root test of Seo (2008). A topical application...

Persistent link: https://www.econbiz.de/10011078551

A ridge bootstrap method for analyzing APT effects on the mortgage loan market

Sjölander, Pär - In: Economic Modelling 30 (2013) C, pp. 844-855

Significantly positive asymmetric price transmission (APT) effects are concluded on the Swedish mortgage loan market. This finding was established based on unique banking data in combination with our newly developed econometric method which is insensitive to the banks' variations in liquidity...

Persistent link: https://www.econbiz.de/10011048717

A ridge bootstrap method for analyzing APT effects on the mortgage loan market

Sjölander, Pär - In: Economic modelling 30 (2013), pp. 844-855

Persistent link: https://www.econbiz.de/10009708788

Correlation Risk Premia for Multi-Asset Equity Options

Fengler, Matthias R.; Schwendner, Peter - 2003

The lack of a liquid market for implied correlations requires traders to estimate correlation matrices for pricing multi-asset equity options from historical data. To quantify the precision of these correlation estimates, we devise a block bootstrap procedure. The resulting bootstrap...

Persistent link: https://www.econbiz.de/10010296446

Correlation Risk Premia for Multi-Asset Equity Options

Fengler, Matthias R.; Schwendner, Peter - Sonderforschungsbereich 373, Quantifikation und … - 2003

Persistent link: https://www.econbiz.de/10010956558

Asymmetric loss functions and the rationality of expected stock returns

Aretz, Kevin; Bartram, Söhnke M.; Pope, Peter F. - In: International Journal of Forecasting 27 (2011) 2, pp. 413-437

Persistent link: https://www.econbiz.de/10011051405