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Parente, Paulo M. D. C.; Smith, Richard J. - 2018 - This draft: July 2018

This article introduces and investigates the properties of a new bootstrap method for time-series data, the kernel block bootstrap. The bootstrap method, although akin to, offers an improvement over the tapered block bootstrap of Paparoditis and Politis (2001), admitting kernels with unbounded...

Persistent link: https://www.econbiz.de/10011878210

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

Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model

Gürtler, Marc; Rauh, Ronald - 2009 - This Version: 2009-09-09

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a...

Persistent link: https://www.econbiz.de/10009487233

Detecting serial dependence in tail events

Diks, Cees G. H. - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10011327543

Deterministic seasonality versus seasonal fractional integration

Gil-Alaña, Luis A. - 2000

We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal...

Persistent link: https://www.econbiz.de/10009612017

Adaptive testing for cointegration with nonstationary volatility

Boswijk, Herman Peter; Zu, Yang - 2019

This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to a multivariate context. Persistent changes in the innovation variance matrix of a vector autoregressive model lead to size distortions in conventional cointegration tests,...

Persistent link: https://www.econbiz.de/10012026102

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10001727625

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - 2002

Persistent link: https://www.econbiz.de/10011431797

A smooth permanent surge process

González, Andrés (contributor) - 2004 - [Elektronische Ressource]

In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...

Persistent link: https://www.econbiz.de/10002465176

Nonparametric inference for second order stochastic dominance

Schmid, Friedrich; Trede, Mark - 1996

based on the asymptotic normality of point estimators, while the second one, relying on resampling techniques, can also cope …, however, that tests based on resampling techniques are more useful in practical applications. Their power in small samples is …

Persistent link: https://www.econbiz.de/10008992397