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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


Puni tekst: engleski pdf 209 Kb

str. 189-202

preuzimanja: 8.478

citiraj


Sažetak

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.

Ključne riječi

Block bootstrap; returns; stability analysis

Hrčak ID:

133696

URI

https://hrcak.srce.hr/133696

Datum izdavanja:

30.12.2014.

Posjeta: 9.204 *