Questions tagged [bootstrap]
Resampling technique for estimating standard errors and computing confidence intervals of sample based quantities.
27 questions
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How to Bootstrap a daily compounding future in QuantLib
Hi I am currently tying to bootstrap the F-TIIE curve for mexican swaps
In the short term it uses the F-TIIE Futures.
These F-TIIE futures are 1 month futures that start on the first day of the month ...
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Sharpe ratios (and other risk-adjusted metrics) on Terminal wealth (long-horizon payoffs)
I'm exploring financial simulations with bootstrapped returns (TxNBoot) to calculate long-horizon returns. Terminal wealth (e.g compounded returns at T) is a vector of payoffs (NBootx1), typically ...
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Bootstrapping annual and semi annual bond [duplicate]
https://www.wallstreetmojo.com/bootstrapping-yield-curve/
a) This is the standard method for bootstrapping:
From the 0.5-year maturity the spot rate or the discount rate is 3% and let us assume the ...
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Circular block bootstrap (CBB) Value-at-Risk (VаR)
I am calculating Value-at-Risk (VAR) with the Circular block bootstrap (CBB) method.
How do I complete the circle and join $P_{10}$ and $P_1$ so that I do not get -70% yield?
If I proceed with CBB VAR ...
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Need Guidance on Analyzing Financial Data Across Multiple CSV Files in R [closed]
I'm new to R but experienced in Stata. I'm working on a research project involving 39 countries, each with 100+ years of daily financial data (date, high, open, close, return), along with USD exchange ...
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830
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Using Yield Term Structure for Bond Pricing in QuantLib: Is a Zero-Coupon Curve Necessary?
I've been using QuantLib for constructing a yield curve and pricing a bond. I am wondering if I'm using the correct method to create my yield term structure (yts) ...
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Proper way to backtest strategy using bootstrap method
Should I back-test in a single (original) price series and bootstrap the strategy returns to get statistics of interest?
Or should I create bootstrapped price series using bootstrapped returns from ...
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Detrending price series for back testing
If I am testing a trend-following strategy, should I detrend the data before applying the rules or should I generate signals based on the original price series but use detrended data for performance ...
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Convert UST Yield Curve to Spot Curve (Zero Coupon) using bootstrapping
Having the following UST Active Curve :
Tenor
Tenor ticker
bid_yield
Coupon
1M
912796XM Govt
1.891
0
2M
912796XV Govt
2.225
0
3M
912796V6 Govt
2.52
0
6M
912796XS Govt
3.026
0
1Y
912796XQ Govt
3....
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Quantlib Piecewise CubicZero Bond Curve Bootstrap
I am looking for more details on Piecewise Cubic Zero for bootstrapping/interpolating treasury curve ? Does quantlib uses Cubic interpolation or Cubic Spline interpolation ? If Cubic interpolation ...
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How to bootstrap zero curve using swap curve when Today's are not reset date?
I know how to build Zero Curve using Swap Curve when today's are reset date.
Because, In the reset date, Floating rate bond's value is exactly par value. So we can make equation with Fixed rate bond!
...
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Block Bootstrapping for synthetic data
I am trying Block Bootstrapping for synthetic data generation.
For example in
http://www.blackarbs.com/blog/synthetic-data-generation-part-1-block-bootstrapping
the author @blackarbsceo use data from ...
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Basic question on Plain Vanilla Interest Rate Swap pricing
I'm new to quant and would like to understand on pricing AUD Plain Vanilla Interest Rate Swap. In post/article/book often explain for long end, we use SWAP RATE that are observed in market. But I'm ...
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Sharpe testing in R
My goal test: The statistical significance of the difference in Sharpe ratio between funds A and B.
My data: I have daily prices from January 23 2008 until 10th of April 2019 (n = 2818 observations). ...
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Trading rules: Controlling the portfolio FDR+ level
I'm trying to apply the FDR+ (False Discovery Rate +) methodology from Bajgrowicz (2011) link another_link. I have computed the p-values with the stationary bootstrap as they did, however I am not ...
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PRIIP Category 3 Curves
Good evening,
I've tried searching similar posts, but most are unanswered or in a more advanced step than what I'm trying to achieve.
I've managed to do the boostrap method for spot prices ...
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Basic boostrapping question
Suppose I have three bonds:
Coupon bonds are paid semi-annually. Rates are continuous compounding.
I'm trying to bootstrap the zero rates for 0.5 years maturity using the 1 year zero coupon bond and ...
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Question regarding the Category 3 PRIIP MRM calculation
My question is regarding the European Commission regulation on standardizing the information in the key information documents for PRIIPs. In the Annex IV of the regulation, one can find the ...
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Block bootstrap to synthesize asset prices
I have a few basic questions on block bootstrapping on a financial time series ('TS').
Assuming my trade universe consists of 10 stocks, I would like to create a set of synthetic prices for all 10 ...
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Bootstrapping p values in linear regression in R
Can someone help me with a code how to bootstrap p values in R using Boot or boot package?
regCSS30 <- dyn$lm(lag(eval(parse(text="HV")),-30) ~ lag((eval(parse(text="CSS30"))),0), data=window(...
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What I find if I bootstrap a binary logistic regression?
I want to describe the direction of some stock returns, using as predictors several independent variables which are uncorrelated. The relation in which I am interested is between the stock returns and ...
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Parametric bootstrap in generating returns and hypothesis testing
I am trying to test a hypothesis of a statistic calculated from portfolio returns. To do so I estimate a model on the original returns series and want to obtain 100 bootstrapped series using ...
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bootstrap asset allocation
I want to ask if the bootstrap method for asset allocation is preferable. For instance, suppose that we have data for the past returns for two stocks. Is it wise to generate the efficient frontierby ...
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654
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out-of-sample variance using rolling window
I am currently working on the comparison of the constructed portfolios using out-of-sample variance criteria. I am going to use rolling window procedure for the comparison. First, I choose a window ...
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State Space models with Short Time Series
My problem is that I have a state space model that I estimate using the Berndt–Hall–Hall–Hausman (BHHH) algorithm. The state space model is relatively simple in that the hidden part follows a pure AR(...
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How do i test the significance of Sharpe ratio of a strategy using bootstrap
How do i test the significance of Sharpe ratio of a strategy whether it is any different from another strategy ?? How do i get a p-value out of it ?
What should be the H0 in the hypothesis testing ?
...
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2
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614
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Block Bootstrapping Relative Returns
I want to run a block bootstrap on the relative returns, but I'm not sure if subtracting the mean is important.
A bootstrap sequence is a synthetic sequence generated using the original sequence. If ...
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