Resampling and Subsampling for Financial Time Series

DOI10.1007/978-3-540-71297-8_42zbMATH Open1178.62046OpenAlexW61945474MaRDI QIDQ3646989FDOQ3646989

Authors: Efstathios Paparoditis, Dimitris Politis 

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_42

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zbMATH Keywords

wild bootstraplocal bootstrapregression bootstrapMarkovian bootstrap

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (10)

• Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
• Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
• Comparison of time series using subsampling
• Multiplier subsample bootstrap for statistics of time series
• Normalized least-squares estimation in time-varying ARCH models
• The uncertainty of conditional returns, volatilities and correlations in DCC models
• Testing for the presence of jump components in jump diffusion models
• On the range of validity of the autoregressive sieve bootstrap
• Bootstrap methods for dependent data: a review
• Subsampling the distribution of diverging statistics with applications to finance

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