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Productivity of tax offices in Norway

Førsund, Finn R.; Edvardsen, Dag Fjeld; Kittelsen, … - In: Journal of productivity analysis 43 (2015) 3, pp. 269-279

Persistent link: https://www.econbiz.de/10011380474

Validity of Edgeworth expansions for realized volatility estimators

Hounyo, Ulrich; Veliyev, Bezirgen - In: The econometrics journal 19 (2016) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10011487524

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

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

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

A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation

Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 198 (2017) 1, pp. 10-28

Persistent link: https://www.econbiz.de/10011818366

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/10011803806

Validity of Edgeworth expansions for realized volatility estimators

Hounyo, Ulrich; Veliyev, Bezirgen - School of Economics and Management, University of Aarhus - 2015

realized volatility may not cover the optimal two-point distribution wild bootstrap proposed by Gonçalves and Meddahi (2009 …). Then, we propose a new optimal nonlattice distribution which ensures the second-order correctness of the bootstrap. Third …

Persistent link: https://www.econbiz.de/10011274511

PPP Strikes Back; Aggregation and the Real Exchange Rate

Mumtaz, Haroon; Imbs, Jean; Ravn, Morten O.; Rey, Helene - International Monetary Fund (IMF) - 2003

We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that established time-series and panel methods substantially exaggerate the persistence of real exchange rates because of heterogeneity in the dynamics of disaggregated relative prices. When...

Persistent link: https://www.econbiz.de/10005248142

TIPs for the Analysis of Poverty in Mexico, 1992-2005

Urzúa, Carlos M.; Macías, Alejandra; Sandoval, Héctor H. - In: Revista de Administración, Finanzas y Economía … 2 (2008) 1, pp. 74-91

This paper proposes some changes to the official methodology that is currently in use to measure the state of poverty in Mexico. Among other suggestions, it is recommended the use of bootstrapping to estimate confidence intervals for the poverty statistics, as well as the use of dominance...

Persistent link: https://www.econbiz.de/10005077239