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Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to … applications. This renders inference based on standard resampling methods useless already in simple estimation and testing settings …. To solve this problem, we introduce a robust fast resampling scheme that is applicable to a wide class of time series …

Persistent link: https://www.econbiz.de/10003971115

A higher-order correct fast moving-average bootstrap for dependent data

La Vecchia, Davide; Moor, Alban; Scaillet, Olivier - 2020

We develop theory of a novel fast bootstrap for dependent data. Our scheme deploys i.i.d. resampling of smoothed moment …

Persistent link: https://www.econbiz.de/10012179669

Testing for equality between two copulas

Remillard, Bruno (contributor); … - 2007

We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Crameacute;r-von Mises test statistic. Finite sample properties...

Persistent link: https://www.econbiz.de/10003550857

Robust subsampling

Camponovo, Lorenzo (contributor); … - 2006

We characterize the robustness of subsampling procedures by deriving a formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures, even if they are applied to robust...

Persistent link: https://www.econbiz.de/10003394379

Technical trading revisited : false discoveries, persistence tests, and transaction costs

Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version: Sept. 2009

We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows...

Persistent link: https://www.econbiz.de/10003961414

Predictability hidden by anomalous observations

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013

Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing framework resistant to such violations, which is consistent with nearly integrated regressors and...

Persistent link: https://www.econbiz.de/10009721331

Dividend growth predictability and the price-dividend ratio

Piatti, Ilaria; Trojani, Fabio - 2012 - This version: October 2012

Conventional tests of present-value models over-reject the null of no predictability. In order to better account for the intrinsic probability of detecting predictive relations by chance alone, we develop a new nonparametric Monte Carlo testing method, which does not rely on distributional...

Persistent link: https://www.econbiz.de/10009684124

A specification test for nonparametric instrumental variable regression

Gagliardini, Patrick (contributor); … - 2007

We consider testing for correct specification of a nonparametric instrumental variable regression. In this ill-posed inverse problem setting, the test statistic is based on the empirical minimum distance criterion corresponding to the conditional moment restriction evaluated with a Tikhonov...

Persistent link: https://www.econbiz.de/10003550675

Testing for threshold effect in ARFIMA models : application to US unemployment rate data

Lahiani, Amine; Scaillet, Olivier - 2008

Macroeconomic time series often involve a threshold effect in their ARMA representation, and exhibit long memory features. In this paper we introduce a new class of threshold ARFIMA models to account for this. The threshold effect is introduced in the autoregressive and/or the fractional...

Persistent link: https://www.econbiz.de/10003966199

Apparent criticality and calibration issues in the Hawkes self-excited point process model : application to high-frequency financial data

Filimonov, Vladimir; Sornette, Didier - 2013

We present a careful analysis of possible issues of the application of the self-excited Hawkes process to high-frequency financial data and carefully analyze a set of effects that lead to significant biases in the estimation of the "criticality index'' n that quantifies the degree of endogeneity...

Persistent link: https://www.econbiz.de/10010257507