Block bootstrap methods and the choice of stocks for the long run

DOI10.1080/14697688.2012.713115zbMath1281.91141MaRDI QIDQ5397473

Valeri I. Zakamouline, Philippe Cogneau

Publication date: 20 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.713115

zbMATH Keywords

bootstrap; parameter estimation; block bootstrap; serial dependence; time series data; long-run

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F40: Bootstrap, jackknife and other resampling methods

91B84: Economic time series analysis

91G10: Portfolio theory

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