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Bootstrap predictive inference for ARIMA processes

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Constant coefficient tests for random coefficient regression

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Constant coefficient tests for Random coefficient regression

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Effects of parameter estimation on prediction densities : a bootstrap approach

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Bootstrap prediction intervals for power-transformed time series

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A New Test of Statistical Arbitrage with Applications to Credit Derivatives Markets

Mayordomo, Sergio; Peña, Juan Ignacio; Romo, Juan - 2013

This paper presents a new statistical arbitrage test which has lower Type I error and selects arbitrage opportunities with lower downside risk than existing alternatives. The test is applied to credit derivatives markets using strategies combining Credit Default Swaps (CDS) and Asset Swaps....

Persistent link: https://www.econbiz.de/10014184296