Search Results - subject:"Grid bootstrap"

Infill asymptotic theory and applications in financial econometrics

Lui, Yiu Lim - In: Financial econometrics : theory and applications, (pp. 132-158). 2025

Persistent link: https://www.econbiz.de/10015426488

The grid bootstrap for continuous time models

Lui, Yiu Lim; Xiao, Weilin; Yu, Jun - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1390-1402

Persistent link: https://www.econbiz.de/10013539532

Generic results for establishing the asymptotic size of confidence sets and tests

Andrews, Donald W. K.; Cheng, Xu; Guggenberger, Patrik - In: Journal of econometrics 218 (2020) 2, pp. 496-531

Persistent link: https://www.econbiz.de/10012483169

Robust inference for threshold regression models

Hidalgo, Javier; Lee, Jungyoon; Seo, Myung Hwan - In: Journal of econometrics 210 (2019) 2, pp. 291-309

Persistent link: https://www.econbiz.de/10012303525

Bias Correction and Out-of-Sample Forecast Accuracy

Kim, Hyeongwoo; Durmaz, Nazif - Department of Economics, Auburn University - 2010

We evaluate the usefulness of bias-correction methods for autoregressive (AR) models in terms of out-of-sample forecast accuracy, employing two popular methods proposed by Hansen (1999) and So and Shin (1999). Our Monte Carlo simulations show that these methods do not necessarily achieve better...

Persistent link: https://www.econbiz.de/10010862362

Does inflation targeting : Inflation persistence work differently in Iran?

Dastgerdi, Hamidreza G.; Yusof, Zarinah - In: International journal of economic perspectives : IJEP 10 (2016) 4, pp. 121-125

Persistent link: https://www.econbiz.de/10011762063

Bias Correction and Out-of-Sample Forecast Accuracy

Kim, Hyeongwoo; Durmaz, Nazif - Volkswirtschaftliche Fakultät, … - 2009

, Hansen's grid bootstrap estimator combined with a rolling window method performs the best. …

Persistent link: https://www.econbiz.de/10004976974

Are real exchanges rate series really persistent? : evidence from three Commonwealth of Independent States countries

Ozdemir, Zeynel Abidin; Aksoy, Emre - In: Applied economics 47 (2015) 40/42, pp. 4299-4309

Persistent link: https://www.econbiz.de/10011294577

International evidence on real interest rate persistence

Ozdemir, Zeynel Abidin; Ekinci, Cagdas; Gokmenoglu, Korhan - In: The Singapore economic review : journal of the Economic … 60 (2015) 4, pp. 1-14

Persistent link: https://www.econbiz.de/10011389500

Persistence in crude oil spot and futures prices

Ozdemir, Zeynel Abidin; Gokmenoglu, Korhan; Ekinci, Cagdas - In: Energy 59 (2013) C, pp. 29-37

This study investigates the degree of persistence in monthly Brent crude oil spot and futures prices (at one, two and three months to maturity). The main finding from the full sample shows that Brent crude oil spot, one, two and three months to maturity futures prices are characterized by a...

Persistent link: https://www.econbiz.de/10011054276