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Bootstrap variance estimation of nonlinear functions of parameters : an application to long-run elasticities of energy demand

Li, Hongyi; Maddala, Gangadharrao S. - In: The review of economics and statistics 81 (1999) 4, pp. 728-733

Persistent link: https://www.econbiz.de/10001437460

Prévisions des pics d'ozone par arbres de régression, simples et agrégés par bootstrap

Ghattas, B. - In: Revue de statistique appliquée 47 (1999) 2, pp. 61-80

Persistent link: https://www.econbiz.de/10001423404

Comparison of bootstrap confidence intervals for impulse responses of German monetary systems

Benkwitz, Alexander; Lütkepohl, Helmut; Wolters, Jürgen - 1999

Persistent link: https://www.econbiz.de/10001373298

Comparison of bootstrap confidence intervals for impulse responses of German monetary systems

Benkwitz, Alexander; Lütkepohl, Helmut; Wolters, Jürgen - In: Macroeconomic dynamics 5 (2001) 1, pp. 81-100

Persistent link: https://www.econbiz.de/10001570831

Hybrid historical simulation VaR and ES : performance in developed and emerging markets

Zikovic, Sasa; Filer, Randall Keith - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the … ; extreme value theory ; bootstrapping …

Persistent link: https://www.econbiz.de/10003891679

A new approach to bootstrap inference in functional coefficient models

Herwartz, Helmut (contributor); Fang, Xu (contributor) - 2007

We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic is shown to hold asymptotically. In simulation...

Persistent link: https://www.econbiz.de/10003477963