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On optimal spatial subsample size for variance estimation

Nordman, Daniel J.; Lahiri, Soumendra N. - 2002

In this paper, we consider the problem of determining the optimal block size for a spatial subsampling method for spatial processes observed on regular grids. We derive expansions for the mean square error of the subsampling variance estimator, which yields an expression for the theoretical...

Persistent link: https://www.econbiz.de/10009770911

Dependent bootstrapping for value-at-risk and expected shortfall

Laker, Ian; Huang, Chun-Kai; Clark, Allan Ernest - In: Risk management : a journal of risk, crisis and disaster 19 (2017) 4, pp. 301-322

Persistent link: https://www.econbiz.de/10011850004

Loss function-based change point detection in risk measures

Lazar, Emese; Wang, Shixuan; Xue, Xiaohan - In: European journal of operational research : EJOR 310 (2023) 1, pp. 415-431

Persistent link: https://www.econbiz.de/10014340186

Savings and investments in the OECD : a panel cointegration study with a new bootstrap test

Di Iorio, Francesca; Fachin, Stefano - In: Empirical economics : a journal of the Institute for … 46 (2014) 4, pp. 1271-1300

Persistent link: https://www.econbiz.de/10010357312

On the power of bootstrap tests for stationarity : a Monte Carlo comparison

Gulesserian, Sevan G.; Kejriwal, Mohitosh - In: Empirical economics : a journal of the Institute for … 46 (2014) 3, pp. 973-998

Persistent link: https://www.econbiz.de/10010344368

Savings and investments in the OECD, 1970 - 2007 : a test of panel cointegration with regime changes

Di Iorio, Francesca; Fachin, Stefano - In: The North American journal of economics and finance : a … 28 (2014), pp. 59-76

Persistent link: https://www.econbiz.de/10010461177

A test for second order stationarity of a multivariate time series

Jentsch, Carsten; Subba Rao, Suhasini - In: Journal of econometrics 185 (2015) 1, pp. 124-161

Persistent link: https://www.econbiz.de/10011339888

Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity

Hwang, Eunju; Shin, Dong-wan - In: Journal of econometrics 202 (2018) 2, pp. 178-195

Persistent link: https://www.econbiz.de/10011974560

Bootstrap-assisted tests of symmetry for dependent data

Psaradakis, Zacharias G.; Vávra, Márian - 2018

Persistent link: https://www.econbiz.de/10011903680

Stop losses momentum strategy : from profit maximization to risk control under White's Bootstrap reality check

Teplova, Tamara V.; Mikova, Evgeniya; Nazarov, Nikolai - In: The quarterly review of economics and finance : journal … 66 (2017), pp. 240-258

Persistent link: https://www.econbiz.de/10011792865