Estimating the variance of a combined forecast: Bootstrap-based approach

Autor: Kajal Lahiri, Ulrich Hounyo

Publikováno v: Journal of Econometrics. 232:445-468

This paper considers bootstrap inference in model averaging for predictive regressions. We first show that the standard pairwise bootstrap is not valid in the context of model averaging. This common bootstrap approach induces a bias-related term in t

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::9b02c0862eca5d4daed4afa19e2a0b34
https://doi.org/10.1016/j.jeconom.2021.09.011

Bootstrapping Laplace Transforms of Volatility: Supplementary Appendix

Autor: Ulrich Hounyo, Zhi Liu, Rasmus Tangsgaard Varneskov

Publikováno v: SSRN Electronic Journal.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::9a6279b235c78bf6b29969553a4514b8
https://doi.org/10.2139/ssrn.4414552

A WILD BOOTSTRAP FOR DEPENDENT DATA

Autor: Ulrich Hounyo

Publikováno v: Econometric Theory. 39:264-289

This paper introduces a novel wild bootstrap for dependent data (WBDD) as a means of calculating standard errors of estimators and constructing confidence regions for parameters based on dependent heterogeneous data. The consistency of the bootstrap

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::904b70e8a96affd26873f529a82df862
https://doi.org/10.1017/s0266466621000487

Are Some Forecasters Really Better Than Others? A Note

Autor: ULRICH HOUNYO, KAJAL LAHIRI

Publikováno v: SSRN Electronic Journal.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fbc3644e8956b0760ad3f1d9ba248fda
https://doi.org/10.2139/ssrn.4010093

Inference for local distributions at high sampling frequencies:A bootstrap approach

Autor: Rasmus T. Varneskov, Ulrich Hounyo

Publikováno v: Hounyo, U & Varneskov, R T 2020, ' Inference for local distributions at high sampling frequencies : A bootstrap approach ', Journal of Econometrics, vol. 215, no. 1, pp. 1-34 . https://doi.org/10.1016/j.jeconom.2019.09.001

We study inference for the local innovations of It\^o semimartingales. Specifically, we construct a resampling procedure for the empirical CDF of high-frequency innovations that have been standardized using a nonparametric estimate of its stochastic

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6663af562627c671e13e8a6f78c232af
https://pure.au.dk/ws/files/230362859/Hounyo_Varneskov_Inference_2020_AM.pdf