Search Results - subject:"Block bootstrapping"

Hedging political risk in international portfolios

Lotfi, Somayyeh; Pagliardi, Giovanni; Paparoditis, … - In: European journal of operational research : EJOR 322 (2025) 2, pp. 629-646

Persistent link: https://www.econbiz.de/10015412068

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

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