Showing 1 - 10 of 41
This paper deals with subsampling continuous random fields for approximating the distribution of statistics estimating some unknown parameter.
Persistent link: https://www.econbiz.de/10005035852
A new multivariate time series model with time varying conditional variances and covariances is presented and analysed. A complete analysis of the proposed model is presented consisting of parameter estimation, model selection and volatility prediction. Classical and Bayesian techniques are used...
Persistent link: https://www.econbiz.de/10005405441
Künsch (1989, Ann. Statist.17 1217-1241) and Liu ane Singh (1992, in Exploring Limits of Bootstrap (R. Le Page and L. Billard, Eds.), pp. 225-248, Wiley, New York) have recently introduced a block resampling method that is successful in deriving consistent bootstrap estimates of distribution...
Persistent link: https://www.econbiz.de/10005106942
Persistent link: https://www.econbiz.de/10005228578
Persistent link: https://www.econbiz.de/10005411935
The well-known ARCH/GARCH models with normal errors account only partly for the degree of heavy tails empirically found in the distribution of financial returns series. Instead of resorting to an arbitrary nonnormal distribution for the ARCH/GARCH residuals we propose a different viewpoint via a...
Persistent link: https://www.econbiz.de/10011130669
The quest for the ‘best’ heavy-tailed distribution for ARCH/GARCH residuals appears to still be ongoing. In this connection, we propose a new distribution that arises in a natural way as an outcome of an implicit model. The challenging application of prediction of squared returns is...
Persistent link: https://www.econbiz.de/10011130678
We consider the problem of estimating the variance of the partial sums of a stationary time series that has either long memory, short memory, negative/intermediate memory, or is the first-difference of such a process. The rate of growth of this variance depends crucially on the type of...
Persistent link: https://www.econbiz.de/10010817553
We analyze fast procedures for conducting Monte Carlo experiments involving bootstrap estimators, providing formal results establishing the properties of these methods under general conditions.
Persistent link: https://www.econbiz.de/10010827542
This paper studies taper-based estimates of the spectral density utilizing a fixed bandwidth ratio asymptotic framework, and makes several theoretical contributions: (i) we treat multiple frequencies jointly, (ii) we allow for long-range dependence or anti-persistence at differing frequencies,...
Persistent link: https://www.econbiz.de/10010785289