The Stationary Bootstrap
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(only showing first 100 items - show all)- Discussion on: ``Bootstrap methods for dependent data: a review
- On the accuracy of bootstrapping sample quantiles of strongly mixing sequences
- A note on stationary bootstrap variance estimator under long-range dependence
- Developing new portfolio strategies by aggregation
- The impact of bootstrap methods on time series analysis
- A Cheap Trick to Improve the Power of a Conservative Hypothesis Test
- A new statistic and practical guidelines for nonparametric Granger causality testing
- Symmetric thermal optimal path and time-dependent lead-lag relationship: novel statistical tests and application to UK and US real-estate and monetary policies
- Nonparametric change point detection in multivariate piecewise stationary time series
- Mean structure of the supercritical turbulent spiral in Taylor-Couette flow
- Bootstrap procedures in a spatial-temporal model
- Control of the false discovery rate under dependence using the bootstrap and subsampling
- Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
- The jackknife and the bootstrap for general stationary observations
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- Tests of random walk: A comparison of bootstrap approaches
- Bootstrapping volatility spillover index
- Multiple tests for the performance of different investment strategies
- Modelling volatility dependence with score copula models
- Across-time risk-aware strategies for outperforming a benchmark
- Partially egalitarian portfolio selection
- Asset allocation with correlation: a composite trade-off
- Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach
- The stationary bootstrap for the joint distribution of sum and maximum of stationary sequences
- Portfolio selection with commodities under conditional copulas and skew preferences
- Selecting time-series hyperparameters with the artificial jackknife
- Testing the constancy of the variance for time series with a trend
- Modeling Spatial Processes with Unknown Extremal Dependence Class
- Some empirical findings on neural network-based forecasting when subjected to autoregressive resampling
- Bootstrap specification tests for diffusion processes
- Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
- Blockwise bootstrap of the estimated empirical process based on -weakly dependent observations
- Maximum likelihood and the bootstrap for nonlinear dynamic models
- Indirect and direct forecasting of volatility-timing portfolios
- Resampling methods for spatial regression models under a class of stochastic designs
- Effects on inference of pretesting the exogeneity of a regressor
- Neural networks in financial trading
- Technical trading and cryptocurrencies
- Block length selection in the bootstrap for time series
- Performance assessment of sandwich and block bootstrap estimators for temporally dependent bivariate extremes
- Exploiting the errors: a simple approach for improved volatility forecasting
- Recent developments in bootstrapping time series
- Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
- Modal volatility function
- Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
- Accounting for seasonality in extreme sea-level estimation
- Beyond Linear Dynamic Functional Connectivity: A Vine Copula Change Point Model
- Recurrence plots revisited
- Portfolios of value and momentum: disappointment aversion and non-normalities
- Another look at the disjoint blocks bootstrap
- Sieve Bootstrap With Variable-Length Markov Chains for Stationary Categorical Time Series
- Consistency of the stationary bootstrap under weak moment conditions
- Stationary bootstrap for kernel density estimators under -weak dependence
- Adaptive evolutionary algorithms for portfolio selection problems
- The impact of a sustainability constraint on the mean-tracking error efficient frontier
- Detecting Directionality in Time Series
- Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
- Conditional parametric bootstrap in GLARMA models
- Bootstrap maximum likelihood for quasi-stationary distributions
- Smoothness of time series: a new approach to estimation
- Spreads versus professional forecasters as predictors of future output change
- Phase-based causality analysis with partial mutual information from mixed embedding
- Empirical asset pricing with multi-period disaster risk: a simulation-based approach
- Inference for bivariate extremes via a semi-parametric angular-radial model
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Bootstrapping the Box-Pierce Q test: a robust test of uncorrelatedness
- Resampling methods in econometrics
- Stock volatility predictability in bull and bear markets
- Browndye: A software package for Brownian dynamics
- A WILD BOOTSTRAP FOR DEPENDENT DATA
- An overview of bootstrap methods for estimating and predicting in time series
- Self-sustainment of coherent structures in counter-rotating Taylor-Couette flow
- Confidence intervals for nonparametric regression functions under negatively associated errors
- Wiener-type integral approximation for sampling distributions of irregularly spaced spatial data
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- A block bootstrap for quasi-likelihood in sparse functional data
- Bootstrapping stationary sequences by the Nadaraya-Watson regression estimator
- Dangers of data mining: The case of calendar effects in stock returns
- Conditional correlation estimation and serial dependence identification
- A Lévy-driven rainfall model with applications to futures pricing
- Price signatures
- Relevant states and memory in Markov chain bootstrapping and simulation
- Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation
- A bootstrap bias correction of long run fourth order moment estimation in the CUSUM of squares test
- A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures
- Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data
- Comments on: Subsampling weakly dependent time series and application to extremes
- A versatile and robust metric entropy test of time-reversibility, and other hypotheses
- Bootstrap order selection for autoregressive models
- Extreme value methods for estimating rare events in Utopia. EVA (2023) Conference Data Challenge: team Lancopula Utopiversity
- Statistical inference for the slope parameter in functional linear regression
- Extreme value techniques for stress scenario selection under elliptical symmetry and beyond
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
- Stationary bootstrapping for semiparametric panel unit root tests
- Long‐term prediction intervals with many covariates
- Hierarchical Kendall copulas: properties and inference
- New and fast block bootstrap-based prediction intervals for GARCH(1,1) process with application to exchange rates
- Bootstrap tests for nonparametric comparison of regression curves with dependent errors
- Detecting relevant differences in the covariance operators of functional time series: a sup-norm approach
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