Properties of the Nonparametric Autoregressive Bootstrap

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Properties of the Nonparametric Autoregressive Bootstrap

Author Info

J. Franke
J.-P. Kreiss
E. Mammen
M. Neumann

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Enno Mammen

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Paper provided by Humboldt Universitaet Berlin in its series Sonderforschungsbereich 373 with number 1998-54.

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Handle: RePEc:wop:humbsf:1998-54

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W. Härdle & J. Horowitz & J.-P. Kreiss, . "Bootstrap Methods For Time Series," Sonderforschungsbereich 373 2001-59, Humboldt Universitaet Berlin.
W. Härdle & T. Kleinow & A. Korostelev & C. Logeay, . "Semiparametric Diffusion Estimation and Application to a Stock Market Index," Sonderforschungsbereich 373 2001-24, Humboldt Universitaet Berlin.
W. Härdle & T. Kleinow & R. Tschernig, . "Web quantlets for time series analysis," Sonderforschungsbereich 373 2000-1, Humboldt Universitaet Berlin.
Other versions:
- Wolfgang Härdle & Torsten Kleinow & Rolf Tschernig, 2001. "Web Quantlets for Time Series Analysis," Annals of the Institute of Statistical Mathematics, Springer, vol. 53(1), pages 179-188, March. [Downloadable!] (restricted)
Chauvet, Marcelle & Tierney, Heather L. R., 2007. "Real Time Changes in Monetary Policy," MPRA Paper 16199, University Library of Munich, Germany, revised Apr 2009. [Downloadable!]
W. Härdle & R. Tschernig, . "Flexible Time Series Analysis," Sonderforschungsbereich 373 2000-51, Humboldt Universitaet Berlin.
Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2001. "Semiparametric Diffusion Estimation and Application to a Stock Market Model," Research Paper Series 51, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

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