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Bootstraping financial time series

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorRuiz Ortega, Esther
dc.contributor.authorPascual, Lorenzo
dc.date.accessioned2009-07-14T08:44:53Z
dc.date.available2009-07-14T08:44:53Z
dc.date.issued2002-07
dc.description.abstractIt is well known that time series of returns are characterized by volatility clustering and excess kurtosis. Therefore, when modelling the dynamic behavior of returns, inference and prediction methods, based on independent and/or Gaussian observations may be inadequate. As bootstrap methods are not, in general, based on any particular assumption on the distribution of the data, they are well suited for the analysis of returns. This paper reviews the application of bootstrap procedures for inference and prediction of financial time series. In relation to inference, bootstrap techniques have been applied to obtain the sample distribution of statistics for testing, for example, autoregressive dynamics in the conditional mean and variance, unit roots in the mean, fractional integration in volatility and the predictive ability of technical trading rules. On the other hand, bootstrap procedures have been used to estimate the distribution of returns which is of interest, for example, for Value at Risk (VaR) models or for prediction purposes. Although the application of bootstrap techniques to the empirical analysis of financial time series is very broad, there are few analytical results on the statistical properties of these techniques when applied to heteroscedastic time series. Furthermore, there are quite a few papers where the bootstrap procedures used are not adequate.
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationJournal of Economic Surveys, 2002, vol. 16, n. 3, p. 271-300
dc.identifier.doi10.1111/1467-6419.00170
dc.identifier.issn1467-6419
dc.identifier.urihttps://hdl.handle.net/10016/4727
dc.language.isoeng
dc.publisherWiley-Blackwell
dc.relation.hasversionContributions to Financial Econometrics: Theoretical and Practical Issues, 2002, . 35-64, ISBN: 140510743X, ISBN13: 9781405107433
dc.relation.publisherversionhttp://dx.doi.org/10.1111/1467-6419.00170
dc.rights©Wiley-Blackwell
dc.rights.accessRightsopen access
dc.subject.ecienciaEstadística
dc.subject.otherForecasting
dc.subject.otherGARCH models
dc.subject.otherNon–Gaussian distributions
dc.subject.otherStochastic Volatility
dc.subject.otherVariance ratio test
dc.subject.otherValue–at–Risk (VaR)
dc.subject.otherTechnical Trading Rules
dc.subject.otherPrediction
dc.titleBootstraping financial time series
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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