This paper shows how to use realized kernels to carry out efficient feasible inference on the
ex post variation of underlying equity prices in the presence of simple models of market …

This is a book on bootstrap and related resampling methods for temporal and spatial data
exhibiting various forms of dependence. Like the resam pling methods for independent data …

We formulate a dynamic no-arbitrage asset pricing model for equities and corporate bonds,
featuring time variation in both risk aversion and economic uncertainty. The joint dynamics …

We review the different block bootstrap methods for time series, and present them in a
unified framework. We then revisit a recent result of Lahiri [Lahiri, SN (1999b). Theoretical …

Sparked by Efron's seminal paper, the decade of the 1980s was a period of active research
on bootstrap methods for independent data-mainly iid or regression set-ups. By contrast, in …

A MOSUM procedure for the estimation of multiple random change points Page 1 Bernoulli
24(1), 2018, 526–564 DOI: 10.3150/16-BEJ887 A MOSUM procedure for the estimation of …

Out-of-sample tests of forecast performance depend on how a given data set is split into
estimation and evaluation periods, yet no guidance exists on how to choose the split point …

This paper considers studentized tests in time series regressions with nonparametrically
autocorrelated errors. The studentization is based on robust standard errors with truncation …

We consider statistical inference of trends in mean non-stationary models. A test statistic is
proposed for the existence of structural breaks in trends. On the basis of a strong invariance …

The blockwise bootstrap is a modification of Efron's bootstrap designed to give correct
results for dependent stationary observations. One drawback of the method is that it …