Bootstrapping volatility spillover index

DOI10.1080/03610918.2018.1476696OpenAlexW2899474694WikidataQ128973767 ScholiaQ128973767MaRDI QIDQ5087917

Dong Wan Shin, Ji-Eun Choi

Publication date: 4 July 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1476696

zbMATH Keywords

confidence intervalvolatility spilloverbootstrappingpivotresidual bootstrapping

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Resampling methods for dependent data
• The jackknife and the bootstrap for general stationary observations
• Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
• A Lagrange multiplier test for causality in variance
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• The Stationary Bootstrap
• Automatic Block-Length Selection for the Dependent Bootstrap

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