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Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator
Haeusler, E.; Segers, J. - Tilburg University, Center for Economic Research - 2005
AMS classifications: 62G20, 62G32;
Persistent link: https://www.econbiz.de/10011092212
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Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions
Grabowski, Daniel; Staszewska-Bystrova, Anna - 2018
investigated. The methods are based on a bootstrap algorithm that adjusts mean and skewness of the bootstrap distribution of the …
Persistent link: https://www.econbiz.de/10011892095
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Statistical methods for assessing and managing wild populations
Hoyle, Simon David - 2005
the classical paradigm, by investigating the best way to estimate bootstrap confidence limits on recreational harvest and …
Persistent link: https://www.econbiz.de/10009438291
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Transmission of business cycle shocks between the US and the euro area
Fenz, Gerhard; Schneider, Martin - 2008
We analyze the transmission of structural shocks between the US and the euro area within a two-country VAR framework. For that purpose, we simultaneously identify cost-push, demand and monetary policy shocks for both countries using sign restrictions. Our results show that domestic shocks...
Persistent link: https://www.econbiz.de/10013370062
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Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions
Grabowski, Daniel; Staszewska-Bystrova, Anna; Winker, Peter - 2018
investigated. The methods are based on a bootstrap algorithm that adjusts mean and skewness of the bootstrap distribution of the …
Persistent link: https://www.econbiz.de/10011806703
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Evaluating Implied RNDs by some New Confidence Interval Estimation Techniques
Andersson, Magnus; Lomakka, Magnus - 2003
method (SPLINE) for estimating risk-neutral distributions (RNDs) from observed option prices. By using a bootstrap technique … Carlo methods. We argue that the bootstrap technique is to be preferred due to the non-normality of the error structure. Our …
Persistent link: https://www.econbiz.de/10010321351
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Statistical methods for distributional analysis
Cowell, Frank A.; Flachaire, Emmanuel - 2015
Persistent link: https://www.econbiz.de/10010510165
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The use of the bootstrap method for the assessment of investment effectiveness and risk : the case of confidence intervals estimation for the Sharpe ratio and TailVaR
Klaudia, Jarno; Łukasz, Smaga - In: Journal of banking and financial economics 1 (2020) 13, pp. 40-50
This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial … investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation …, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods …
Persistent link: https://www.econbiz.de/10012887711
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Evaluating implied RNDs by some new confidence interval estimation techniques
Andersson, Magnus; Lomakka, Magnus - 2003
method (SPLINE) for estimating risk-neutral distributions (RNDs) from observed option prices. By using a bootstrap technique … Carlo methods. We argue that the bootstrap technique is to be preferred due to the non-normality of the error structure. Our …
Persistent link: https://www.econbiz.de/10011585327
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Statistical inference with PLSc using bootstrap confidence intervals
Aguirre-Urreta, Miguel I.; Rönkkö, Mikko - In: Management information systems : mis quarterly 42 (2018) 3, pp. 1001-1020
Persistent link: https://www.econbiz.de/10011919706