We propose a widely applicable bootstrap based test of the null hypothesis of equality of two firms' Risk Measures (RMs …. An extensive Monte Carlo Simulation shows desirable properties. We provide an application on a sample of 94 U …

by the European Commission. Moreover, we consider the methodology based on bootstrap replications to estimate the …

. Les méthodes du bootstrap permettent d'obtenir une approximation de la vraie loi de la statistique en général plus précise … analytiquement. Dans cet article, nous présentons une méthodologie générale du bootstrap dans le contexte des modèles de régression. …

In this paper we are interested in heteroskedastic regression models, for which an appropriate bootstrap method is …

. Les méthodes du bootstrap permettent d'obtenir une approximation de la vraie loi de la statistique en général plus précise … analytiquement. Dans cet article, nous présentons une méthodologie générale du bootstrap dans le contexte des modèles de régression. …

obtained with a bootstrap method. We call these estimators "Naïve estimators" as they represent a discretization of Joe …

double bootstrap, but it is far less computationally demanding. Simulation results for three different cases suggest that the …Two procedures are proposed for estimating the rejection probabilities of bootstrap tests in Monte Carlo experiments … without actually computing a bootstrap test for each replication. These procedures are only about twice as expensive (per …

convergence with the parametric bootstrap or the nonparametric bootstrap. For linear data generating processes (DGP) we show in …, within the framework of the bootstrap, we thought that the error in rejection probability (ERP) had the same rate of … are nonnull. Indeed, we show that the ERP is the same for the asymptotic test as for the classical parametric bootstrap …

bootstrapping the three non-exact test statistics and also a new conditional bootstrap version of the LR test. These use more … procedures is used, both the K and conditional bootstrap LR tests have excellent performance under the null. However, power …

the driving stationary series. The situation is analysed from the point of view of bootstrap testing, and an exact … quantitative account is given of the error in rejection probability of a bootstrap test. A particular method of estimating the MA … parameter is recommended, as it leads to very little distortion even when the MA parameter is close to -1. A new bootstrap …