Bootstrapping volatility spillover index

DOI10.1080/03610918.2018.1476696MaRDI QIDQ5087917zbMATH OpenOpenAlexWikidataFDO

Authors Dong Wan Shin, Ji Eun Choi

Publication date 4 July 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2018.1476696

zbMATH Keywords

bootstrappingconfidence intervalpivotresidual bootstrappingvolatility spillover

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Lagrange multiplier test for causality in variance
• Automatic Block-Length Selection for the Dependent Bootstrap
• Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Resampling methods for dependent data
• The jackknife and the bootstrap for general stationary observations
• The Stationary Bootstrap

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