In this paper we analyse some bootstrap techniques to make inference in INAR(p) models. First of all, via Monte Carlo experiments we compare the performances of these methods when estimating the thinning parameters in INAR(p) models. We state the superiority of sieve bootstrap approaches on...

Using non-parametric and parametric models, we show that the bivariate distribution of an Asian portfolio is not stable along all the period under study. We suggest several dynamic models to compute two market risk measures, the Value at Risk and the Expected Shortfall: the RiskMetrics...