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Benkwitz, Alexander; Lütkepohl, Helmut; Neumann, Michael H. - 1997

Bootstrap confidence intervals for impulse responses computed from autoregressive processes are considered. A detailed analysis of the methods in current use shows that they are not very reliable in some cases. In particular, there are theoretical reasons for them to have actual coverage...

Persistent link: https://www.econbiz.de/10009660382

Time inhomogeneous multiple volatility modelling

Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - 2001

Price variations observed at speculative markets exhibit positive autocorrelation and cross correlation among a set of … assets, stock market indices, exchange rates etc. A particular problem in investigating multivariate volatility processes … arises from the high dimensionality implied by a simultaneous analysis of variances and covariances. Parametric volatility …

Persistent link: https://www.econbiz.de/10009612567

Correlation risk premia for multi-asset equity options

Fengler, Matthias R. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919088

On robustness of model-based bootstrap schemes in nonparametric time series analysis

Neumann, Michael H. - 1997

Theory in time series analysis is often developed in the context of finite-dimensional models for the data generating process. Whereas corresponding estimators such as those of a conditional mean function are reasonable even if the true dependence mechanism is of a more complex structure, it is...

Persistent link: https://www.econbiz.de/10009660380

Bootstrap of kernel smoothing in nonlinear time series

Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - 1997

Kernel smoothing in nonparametric autoregressive schemes offers a powerful tool in modelling time series. In this paper it is shown that the bootstrap can be used for estimating the distribution of kernel smoothers. This can be done by mimicking the stochastic nature of the whole process in the...

Persistent link: https://www.econbiz.de/10009632604

Autoregressive aided periodogram bootstrap for time series

Kreiß, Jens-Peter; Paparoditis, Efstathios - 2001

A bootstrap methodology for the periodogram of a stationary process is proposed which is based on a combination of a time domain parametric and a frequency domain nonparametric bootstrap. The parametric fit is used to generate periodogram ordinates and imitate the essential features of the data...

Persistent link: https://www.econbiz.de/10009614876

Bootstrap methods for time series

Härdle, Wolfgang; Horowitz, Joel; Kreiß, Jens-Peter - 2001

The bootstrap is a method for estimating the distribution of an estimator or test statistic by resampling one’s data or a model estimated from the data. The methods that are available for implementing the bootstrap and the accuracy of bootstrap estimates depend on whether the data are a random...

Persistent link: https://www.econbiz.de/10009614877

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

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

It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals are often not provided. If confidence intervals are...

Persistent link: https://www.econbiz.de/10009580485

Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the hurst coefficient

Hall, Peter; Härdle, Wolfgang; Kleinow, Torsten; … - 1999

A major application of rescaled adjusted range analysis (RS analysis) is the study of price fluctuations in financial markets. There, the value of the Hurst constant, H, in a time series may be interpreted as an indicator of the irregularity of the price of a commodity, currency or similar...

Persistent link: https://www.econbiz.de/10009581110

Bootstrap approximations in a partially linear regression model

Härdle, Wolfgang; Liang, Hua; Sommerfeld, Volker - 1997

Persistent link: https://www.econbiz.de/10009661015

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