Essays about: "wild bootstrap."

Found 3 essays containing the words wild bootstrap..

1. 1. Testing the weak form EMH - An empirical study of the Swedish stock market

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Joel Frank; Viktor Öhrström; [2019-07-11]
   Keywords : ;

   Abstract : This thesis investigates whether the Swedish stock market shows signs of weak form efficiency between January 2012 and January 2019. Weekly data is gathered from the OMXSPI and from three indices of different capitalization segments, namely Large cap, Mid cap and Small cap. READ MORE

3. 2. Robust critical values for unit root tests for series with conditional heteroskedasticity errors using wild bootstrap

   University essay from Örebro universitet/Handelshögskolan vid Örebro Universitet

   Author : Toni Duras; [2013]
   Keywords : Bootstrap; critical values; Dickey-Fuller; heteroskedasticity; unit root tests; wild bootstrap.;

   Abstract : .... READ MORE

4. 3. Testing for Cointegration in Multivariate Time Series : An evaluation of the Johansens trace test and three different bootstrap tests when testing for cointegration

   University essay from Örebro universitet/Handelshögskolan vid Örebro Universitet

   Author : Jonas Englund; [2013]
   Keywords : Johansen trace test; wild bootstrap; cointegration; heteroscedasticity; simulation;

   Abstract : In this paper we examine, by Monte Carlo simulation, size and power of the Johansens trace test when the error covariance matrix is nonstationary, and we also investigate the properties of three different bootstrap cointegration tests. Earlier studies indicate that the Johansen trace test is not robust in presence of heteroscedasticity, and tests based on resampling methods have been proposed to solve the problem. READ MORE