Original scientific paper
https://doi.org/10.17535/crorr.2014.0007
A comparison of four different block bootstrap methods
Boris Radovanov
; Faculty of Economics Subotica, University of Novi Sad
Aleksandra Marcikić
; Faculty of Economics Subotica, University of Novi Sad
Abstract
The paper contains a description of four different block bootstrap methods, i.e., non-overlapping block bootstrap, overlapping block bootstrap (moving block bootstrap), stationary block bootstrap and subsampling. Furthermore, the basic goal of this paper is to quantify relative efficiency of each mentioned block bootstrap procedure and then to compare those methods. To achieve the goal, we measure mean square errors of estimation variance returns. The returns are calculated from 1250 daily observations of Serbian stock market index values BELEX15 from April 2009 to April 2014. Thereby, considering the effects of potential changes in decisions according to variations in the sample length and purposes of the use, this paper introduces stability analysis which contains robustness testing of the different sample size and the different block length. Testing results indicate some changes in bootstrap method efficiencies when altering the sample size or the block length.
Keywords
Block bootstrap; returns; stability analysis
Hrčak ID:
133696
URI
Publication date:
30.12.2014.
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