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A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks

Bertail, Patrice; Haefke, Christian; Politis, Dimitris N.; … - Department of Economics and Business, Universitat … - 2001

In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known rates when the underlying time series in strictly stationary abd strong mixing. Based on our results we provide a detailed discussion how to estimate extreme order statistics with...

Persistent link: https://www.econbiz.de/10005827491

A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS

Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert - In: Econometric Theory 29 (2013) 03, pp. 567-589

We analyze fast procedures for conducting Monte Carlo experiments involving bootstrap estimators, providing formal results establishing the properties of these methods under general conditions.

Persistent link: https://www.econbiz.de/10010932071

A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators

Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert - Centre for Microdata Methods and Practice (CEMMAP) - 2012

We analyze fast procedures for conducting Monte Carlo experiments involving bootstrap estimators, providing formal results establishing the properties of these methods under general conditions.

Persistent link: https://www.econbiz.de/10010827542

Subsampling the distribution of diverging statistics with applications to finance

Bertail, Patrice; Häfke, Christian; Politis, Dimitris N.; … - In: Journal of econometrics 120 (2004) 2, pp. 295-326

Persistent link: https://www.econbiz.de/10002028637

Automatic block-length selection for the dependent bootstrap

Politis, Dimitris N.; White, Halbert - In: Econometric reviews 23 (2004) 1, pp. 53-70

Persistent link: https://www.econbiz.de/10001944765

A subsampling approach to estimating the distribution of diverging statistics with applications to assessing financial market risks

Bertail, Patrice; Häfke, Christian; Politis, Dimitris N.; … - 2002

Persistent link: https://www.econbiz.de/10001720937

A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators

Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert - 2012

Persistent link: https://www.econbiz.de/10009554396

A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators

Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert - In: Econometric theory 29 (2013) 3, pp. 567-589

Persistent link: https://www.econbiz.de/10009778510

Correction to "Automatic block-length selection for the dependent bootstrap" by D. Politis and H. White

Patton, Andrew J.; Politis, Dimitris N.; White, Halbert - In: Econometric reviews 28 (2009) 4, pp. 372-375

Persistent link: https://www.econbiz.de/10003864027

A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS

Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert - In: Econometric theory 29 (2013) 3, pp. 567-589

Persistent link: https://www.econbiz.de/10010120926