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Estimation and forecasting in INAR(p) models using sieve bootstrap

Bisaglia, Luisa; Gerolimetto, Margherita - 2018

Persistent link: https://www.econbiz.de/10011869097

Easy bootstrap-like estimation of asymptotic variances

Honoré, Bo E.; Hu, Luojia - 2018

The bootstrap is a convenient tool for calculating standard errors of the parameter estimates of complicated … econometric models. Unfortunately, the bootstrap can be very time-consuming. In a recent paper, Honoré and Hu (2017), we propose a … "Poor (Wo)man's Bootstrap" based on one-dimensional estimators. In this paper, we propose a modified, simpler method and …

Persistent link: https://www.econbiz.de/10011879253

Beating the market with small portfolios : evidence from Brazil

Santos, André A. P. - In: Economia : revista da ANPEC 16 (2015) 1, pp. 22-31

Optimal portfolios with a restriction on the number of assets, also referred to as cardinality-constrained portfolios, have been receiving attention in the literature due to its popularity among market practitioners and retail investors. In most cases, however, the interest is in proposing...

Persistent link: https://www.econbiz.de/10011865381

Inference for structural impulse responses in SVAR-GARCH models

Bruder, Stefan - 2018

heteroskedastic SVAR-GARCH model and propose a bootstrap-based inference procedure on structural impulse responses. We compare the … finite-sample properties of our bootstrap method with those of two competing bootstrap methods via extensive Monte Carlo …

Persistent link: https://www.econbiz.de/10011817166

Risk measure inference

Hurlin, Christophe; Laurent, Sébastien; Quaedvlieg, Rogier - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 499-512

Persistent link: https://www.econbiz.de/10011893687

Modelling of moving centerline exponentially weighted moving average (MCEWMA) with bootstrap approach : case study on Sukuk Musyarakah of Rantau Abang Capaital Berhad, Malaysia

Zainuddin Nurul Hila; Lola Muhamad Safiih; Nur … - In: International journal of applied business and economic … 14 (2016) 2, pp. 621-638

Persistent link: https://www.econbiz.de/10011900564

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

Mixed-scale jump regressions with bootstrap inference

Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432

Persistent link: https://www.econbiz.de/10011920538

Bootstrap LM tests for higher-order spatial effects in spatial linear regression models

Yang, Zhenlin - In: Empirical economics : a journal of the Institute for … 55 (2018) 1, pp. 35-68

Persistent link: https://www.econbiz.de/10011949745

Covariance estimation using random permutations

Padmakumari, Lakshmi; Maheswaran, S. - In: International journal of financial engineering 5 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011922956