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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

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

Persistent link: https://www.econbiz.de/10009535779

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

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

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

Persistent link: https://www.econbiz.de/10001731828

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