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Testing the stability of the 2000 US stock market “antibubble”

Zhou, Wei-Xing; Sornette, Didier - In: Physica A: Statistical Mechanics and its Applications 348 (2005) C, pp. 428-452

Since August 2000, the stock market in the USA as well as most other western markets have depreciated almost in synchrony according to complex patterns of drops and local rebounds. In (Quantitative Finance 2 (2002) 468), we have proposed to describe this phenomenon using the concept of a...

Persistent link: https://www.econbiz.de/10011059088

Topology of the correlation networks among major currencies using hierarchical structure methods

Keskin, Mustafa; Deviren, Bayram; Kocakaplan, Yusuf - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 4, pp. 719-730

of MSTs and HTs by using bootstrap replicas of data. We also used the average linkage cluster analysis for obtaining the …

Persistent link: https://www.econbiz.de/10010872132

Statistical mechanics of networks: Estimation and uncertainty

Desmarais, B.A.; Cranmer, S.J. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 4, pp. 1865-1876

Exponential random graph models (ERGMs) are powerful tools for formulating theoretical models of network generation or learning the properties of empirical networks. They can be used to construct models that exactly reproduce network properties of interest. However, tuning these models correctly...

Persistent link: https://www.econbiz.de/10011057363

Pinkness of the North Atlantic Oscillation signal revisited

Fernández, Isabel; Pacheco, José M.; Quintana, María P. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 24, pp. 5801-5807

series, completed with a bootstrap spectral analysis. The DFA provides a quantitative measure of predictability by computing …

Persistent link: https://www.econbiz.de/10011059210

Bootstrap approaches and confidence intervals for stationary and non-stationary long-range dependence processes

Franco, Glaura C.; Reisen, Valderio A. - In: Physica A: Statistical Mechanics and its Applications 375 (2007) 2, pp. 546-562

This paper deals with different bootstrap approaches and bootstrap confidence intervals in the fractionally … parametric and semi-parametric estimation techniques for the memory parameter d. The bootstrap procedures considered are: the … classical bootstrap in the residuals of the fitted model [B. Efron, R. Tibshirani, An Introduction to the Bootstrap, Chapman and …

Persistent link: https://www.econbiz.de/10011060616

Is the North Atlantic Oscillation just a pink noise?

Fernández, Isabel; Hernández, Carmen N.; Pacheco, José M. - In: Physica A: Statistical Mechanics and its Applications 323 (2003) C, pp. 705-714

, completed with a bootstrap procedure, shows a rather featureless structure of the index. In other words, the actual time series …

Persistent link: https://www.econbiz.de/10011063371

Application of bootstrap to detecting chaos in financial time series

Brzozowska-Rup, Katarzyna; Orłowski, Arkadiusz - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 317-321

A moving blocks bootstrap procedure is used to investigate the dynamics of nominal exchange rates and the return rates …

Persistent link: https://www.econbiz.de/10011064026

Goodness-of-fit test for copulas

Panchenko, Valentyn - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 176-182

Copulas are often used in finance to characterize the dependence between assets. However, a choice of the functional form for the copula is an open question in the literature. This paper develops a goodness-of-fit test for copulas based on positive definite bilinear forms. The suggested test...

Persistent link: https://www.econbiz.de/10010589678

Bootstrap testing for detrended fluctuation analysis

Grau-Carles, Pilar - In: Physica A: Statistical Mechanics and its Applications 360 (2006) 1, pp. 89-98

. Until now no asymptotic distribution has been found for this statistic. The bootstrap technique allows the simulation of the … probability distribution of any statistic. In this paper the results of the Monte Carlo study using bootstrap method show that the … DFA test has reasonably good power for short time series. Another advantage of the bootstrap technique is that allows the …

Persistent link: https://www.econbiz.de/10010590773

A non-Gaussian approach to risk measures

Bormetti, Giacomo; Cisana, Enrica; Montagna, Guido; … - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 532-542

to different methodologies, by employing a bootstrap technique. …

Persistent link: https://www.econbiz.de/10010591258