In this paper, we propose a model-free bootstrap method for the empirical process under absolute regularity. More … precisely, consistency of an adapted version of the so-called dependent wild bootstrap, that was introduced by Shao (2010) and … simulation study shows that our method is competitive to standard block bootstrap methods in finite samples. …

dimensions in a general time series setting. We propose a novel bootstrap method in this nonstandard context and show that it … significantly outperforms the benchmark asymptotic approximation in finite samples, especially for tail quantiles such as Value …

distributions of the new tests depend on the data generating process, so a new bootstrap procedure is proposed and theoretically …