The Stationary Bootstrap
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(only showing first 100 items - show all)- A note on the stationary bootstrap's variance
- Control of the false discovery rate under dependence using the bootstrap and subsampling
- Bootstrap Unit-Root Tests: Comparison and Extensions
- Simultaneous selection of variables and smoothing parameters in structured additive regression models
- Non-asymptotic tests of model performance
- Tests of random walk: A comparison of bootstrap approaches
- Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach
- Bootstrapping an inhomogeneous point process
- An efficient semiparametric maxima estimator of the extremal index
- Small sample testing for cointegration using the bootstrap approach
- Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
- Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
- On the bootstrap and the moving block bootstrap for the maximum of a stationary process
- An overview of bootstrap methods for estimating and predicting in time series
- Consistent model specification tests for time series econometric models
- Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
- Subsampling for heteroskedastic time series
- The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
- Effects on inference of pretesting the exogeneity of a regressor
- A resampling method for regression models with serially correlated errors
- Bootstrapping Hausman's exogeneity test
- Local block bootstrap
- A nonparametric bootstrap method for spatial data
- Block length selection in the bootstrap for time series
- On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
- A Lévy-driven rainfall model with applications to futures pricing
- Dynamic factor multivariate GARCH model
- Stationary bootstrapping for semiparametric panel unit root tests
- Multiple tests for the performance of different investment strategies
- Inference on the tail process with application to financial time series modeling
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- Direct comparison of agent-based models of herding in financial markets
- Smoothed stationary bootstrap bandwidth selection for density estimation with dependent data
- Skewness and kurtosis of multivariate Markov-switching processes
- Simultaneous multiple change-point and factor analysis for high-dimensional time series
- Methods for computing numerical standard errors: review and application to value-at-risk estimation
- Asset allocation with correlation: a composite trade-off
- Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels
- A test of the long memory hypothesis based on self-similarity
- From concentration profiles to concentration maps. New tools for the study of loss distributions
- Bootstrap methods for stationary functional time series
- Infections of \textit{Wolbachia} may destabilize mosquito population dynamics
- Bootstrap testing for cross-correlation under low firing activity
- Asymptotic inference about predictive accuracy using high frequency data
- Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
- New and fast block bootstrap-based prediction intervals for GARCH(1,1) process with application to exchange rates
- Relevant states and memory in Markov chain bootstrapping and simulation
- Robust quantification of the exposure to operational risk: bringing economic sense to economic capital
- Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- The jackknife and the bootstrap for general stationary observations
- The pseudo-true score encompassing test for non-nested hypotheses.
- A consistent test for nonlinear out of sample predictive accuracy.
- The local bootstrap for Markov processes
- Bootstraps for time series
- Resampling time series using missing values techniques
- Time reversibility tests of volume-volatility dynamics for stock returns
- Consistency of the stationary bootstrap under weak moment conditions
- The block bootstrap test of Hausman's exogeneity in the presence of serial correlation
- Bootstrap tests of multiple inequality restrictions on variance ratios
- A note on the empirics of the neoclassical growth model
- An urn-based Bayesian block bootstrap
- The threshold bootstrap and threshold jackknife
- Recurrence plots revisited
- Testing time reversibility without moment restrictions
- Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- Empirical asset pricing with multi-period disaster risk: a simulation-based approach
- A stationary bootstrap test about two mean vectors comparison with somewhat dense differences and fewer sample size than dimension
- On the construction of bootstrap confidence intervals for estimating the correlation between two time series not sampled on identical time points
- Frequency domain bootstrap methods for random fields
- Monitoring procedures for strict stationarity based on the multivariate characteristic function
- On the tail behaviour of aggregated random variables
- Modelling extremes of spatial aggregates of precipitation using conditional methods
- A comparison between VAR processes jointly modeling GDP and unemployment rate in France and Germany
- Statistical inference for the slope parameter in functional linear regression
- Detecting relevant differences in the covariance operators of functional time series: a sup-norm approach
- Block bootstrapping for a panel mean break test
- Bootstrap inference for network vector autoregression in large-scale social network
- ANAPT: additive noise analysis for persistence thresholding
- The profitability in the FTSE 100 index: a new Markov chain approach
- Large-scale minimum variance portfolio allocation using double regularization
- Functional data analysis in the Banach space of continuous functions
- Robust trade-off portfolio selection
- Consistency of the frequency domain bootstrap for differentiable functionals
- The expected time to cross a threshold and its determinants: a simple and flexible framework
- The effects of trade size and market depth on immediate price impact in a limit order book market
- Forecasting long-term interest rates with a general-equilibrium model of the Euro area: what role for liquidity services of bonds?
- Exploiting ergodicity in forecasts of corporate profitability
- Predictive quantile regressions under persistence and conditional heteroskedasticity
- A test for second order stationarity of a multivariate time series
- Nested forecast model comparisons: a new approach to testing equal accuracy
- The integrated periodogram of a dependent extremal event sequence
- Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
- Consistency of the jackknife-after-bootstrap variance estimator for the bootstrap quantiles of a Studentized statistic
- Bootstrap tests for nonparametric comparison of regression curves with dependent errors
- Dynamic D-vine copula model with applications to Value-at-Risk (VaR)
- Penalized generalized empirical likelihood in high-dimensional weakly dependent data
- Testing the predictive ability of corridor implied volatility under GARCH models
- The impact of a sustainability constraint on the mean-tracking error efficient frontier
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