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Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity

Goncalves, Silvia; Kilian, Lutz - In: Econometric Reviews 26 (2007) 6, pp. 609-641

The main contribution of this paper is a proof of the asymptotic validity of the application of the bootstrap to AR … establishing that a suitably constructed bootstrap estimator will have the same limit distribution as the least-squares estimator … robust standard errors or the bootstrap approximation of the distribution of autoregressive parameters. A simulation study …

Persistent link: https://www.econbiz.de/10005511987

Date tilting for time series

Hall, Peter; Yao, Qiwei - London School of Economics (LSE) - 2003

We develop a general methodology for tilting time series data. Attention is focused on a large class of regression problems, where errors are expressed through autoregressive processes. The class has a range of important applications and in the context of our work may be used to illustrate the...

Persistent link: https://www.econbiz.de/10011126303

Inference in ARCH and GARCH models with heavy-tailed errors

Hall, Peter; Yao, Qiwei - London School of Economics (LSE) - 2003

bootstrap methods also fail to produce consistent estimators. To overcome these problems we develop percentile–t, subsample … bootstrap approximations to estimator distributions. Studentizing is employed to approximate scale, and the subsample bootstrap …

Persistent link: https://www.econbiz.de/10011126624

Moving-maximum models for extrema of time series

Hall, Peter; Peng, Liang; Yao, Qiwei - London School of Economics (LSE) - 2002

bootstrap techniques, applied to moving-maximum models, may be used to construct confidence and prediction intervals from …

Persistent link: https://www.econbiz.de/10011126665

Testing for linear autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 1998

One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1. To some extent this can be explained by standard asset pricing models when assuming time varying risk premia. However, one often finds better results when directly fitting an...

Persistent link: https://www.econbiz.de/10010956379

Short Run and Long Run Causality in Time Series : Inference

DUFOUR, Jean-Marie; PELLETIER, Denis; RENAULT, Éric - Centre Interuniversitaire de Recherche en Économie … - 2003

techniques as well as standard Gaussian asymptotic distributional theory. Bootstrap procedures are also considered. For the case …

Persistent link: https://www.econbiz.de/10005353062

Testing for linear autoregressive dynamics under heteroskedasticity

HAFNER, CHRISTIAN M.; HERWARTZ, HELMUT - In: Econometrics Journal 3 (2000) 2, pp. 177-197

A puzzling characteristic of asset returns for various frequencies is the often observed positive autocorrelation at lag one. To some extent this can be explained by standard asset pricing models when assuming time-varying risk premia. However, one often finds better results when directly...

Persistent link: https://www.econbiz.de/10005243397

AN INFINITE FACTOR MODEL FOR CREDIT RISK

SCHMIDT, THORSTEN - In: International Journal of Theoretical and Applied … 09 (2006) 01, pp. 43-68

The defaultable term structure is modeled using stochastic differential equations in Hilbert spaces. This leads to an infinite dimensional model, which is free of arbitrage under a certain drift condition. Furthermore, the model is extended to incorporate ratings based on a Markov chain.

Persistent link: https://www.econbiz.de/10004971737

Nonparametric adaptive density estimation on random fields using wavelet method

Li, Linyuan - In: Statistics & Probability Letters 96 (2015) C, pp. 346-355

We consider non-linear wavelet-based estimators of density functions with stationary random fields, which are indexed by the integer lattice points in the N-dimensional Euclidean space and are assumed to satisfy some mixing conditions. We investigate their asymptotic rates of convergence based...

Persistent link: https://www.econbiz.de/10011115966

A functional central limit theorem for empirical processes under a strong mixing condition

Tone, Cristina - In: Statistical Inference for Stochastic Processes 15 (2012) 2, pp. 177-192

Persistent link: https://www.econbiz.de/10010992894