Questions tagged [bootstrap]

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

6 questions with no upvoted or accepted answers
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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 ...
5
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1answer
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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 ...
3
votes
0answers
164 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(...
1
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0answers
37 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 ...
1
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0answers
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(...
1
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0answers
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 ...