pharmaceutical and the electronics industries in the 1980's are examined, and the estimation results indicate substantial differences …

, when we calculate a VaR (Value at Risk) with an instantaneous volatility to check the prediction performance. Furthermore …

Bootstrap resampling schemes. First, an algorithm implementing jackknife is used to extract leverage for all data points, that …, Bootstrap resampling is implemented, taking into account leverage information. This approach proved to be robust to the presence …

-sectional units, which may be obtained through the standard bootstrap method. Consequently, we may conveniently use various …

. One can use the bootstrap distribution of the score test statistic to obtain a critical value. This can give already … value. Since the score test statistic is asymptotically pivotal, the bootstrap critical value is second-order correct … matrix used in the quadratic form. In this paper we propose a bootstrap-based method to obtain both a second-order correct …

) structural change test, where we calculate bootstrap critical values. While the size is correct, his sequential method lacks …

breaks is then estimated. The estimation of the break dates is sequential. Break dates are estimated via two alternative … samples are repeated until a criterion for stopping is satisfied. In this paper we propose bootstrap tests as criterion for …