Consistency of the stationary bootstrap under weak moment conditions

DOI10.1016/S0165-1765(03)00192-7zbMath1254.91663OpenAlexW2135845640MaRDI QIDQ1927395

Robert M. de Jong, Sílvia Gonçalves

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(03)00192-7

zbMATH Keywords

stationary bootstrapsecond moments

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Nonparametric statistical resampling methods (62G09) Economic time series analysis (91B84) Analysis of variance and covariance (ANOVA) (62J10)

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Stationary bootstrapping realized volatility ⋮ BLOCK BOOTSTRAP CONSISTENCY UNDER WEAK ASSUMPTIONS ⋮ Stationary bootstrapping realized volatility under market microstructure noise ⋮ Bootstrap tests of multiple inequality restrictions on variance ratios ⋮ The stationary bootstrap for the joint distribution of sum and maximum of stationary sequences ⋮ Bootstrap-assisted tests of symmetry for dependent data ⋮ Strong consistency of the stationary bootstrap under \(\psi\)-weak dependence ⋮ Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models ⋮ Asymptotic inference about predictive accuracy using high frequency data ⋮ Bootstrap for dependent Hilbert space-valued random variables with application to von Mises statistics ⋮ Bootstrap methods for dependent data: a review ⋮ THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS ⋮ Evaluation of volatility predictions in a VaR framework ⋮ A nonparametric test for a constant correlation matrix

Cites Work

• A maximal inequality and dependent strong laws
• Theoretical comparisons of block bootstrap methods
• The jackknife and the bootstrap for general stationary observations
• The Stationary Bootstrap
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• A Reality Check for Data Snooping
• THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
• Unnamed Item

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