A Mixed Integer Linear Programming Approach to Markov Chain Bootstrapping
Download full text from publisher
References listed on IDEAS
- Stanislav Anatolyev & Andrey Vasnev, 2002. "Markov chain approximation in bootstrapping autoregressions," Economics Bulletin, AccessEcon, vol. 3(19), pages 1-8.
- repec:ebl:ecbull:v:3:y:2002:i:19:p:1-8 is not listed on IDEAS
- Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992.
" Simple Technical Trading Rules and the Stochastic Properties of Stock Returns,"
Journal of Finance,
American Finance Association, vol. 47(5), pages 1731-1764, December.
- Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
More about this item
KeywordsContinuous Markov processes; Time series bootstrapping.; Mixed Integer Linear Programming; Markov chains;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-12 (All new papers)
- NEP-ECM-2013-01-12 (Econometrics)
- NEP-ETS-2013-01-12 (Econometric Time Series)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mcr:wpdief:wpaper00067. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Silvana Tartufoli) or () or () or () or (). General contact details of provider: http://edirc.repec.org/data/dimacit.html .