Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - Finrisk - 2009
We study the robustness of block resampling procedures for time series. We first derive a setof formulas to quantify … ren-der inferences based on standard resampling methods useless already in simple estimation andtesting settings. To solve … this problem, we introduce a robust fast resampling scheme that isapplicable to a wide class of time series settings.[...] …