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# Questions tagged [bootstrap]

Resampling technique for estimating standard errors and computing confidence intervals of sample based quantities.

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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 ...
59 views

### 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 ...
398 views

### 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 ...
561 views

### 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 ...
94 views

### 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). ...
38 views

### 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 ...
238 views

### 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 ...
35 views

### 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(...
37 views

### 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 ...
190 views

### 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 ...
530 views

### 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 ...
189 views

### 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 ...
165 views

### 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(...