47 research outputs found
Complexiteit in evolutionair en organisatorisch perspectief; het zoeken naar balans tussen vermogens en uitdagingen
No full textTechnology, Policy and Managemen
Micro-elektronica, het reiswezen: Deelstudie van micro-elektronica in beroep en bedrijf; balans en verwachting
No full textUitgave van de Stichting Toekomstbeeld der Techniek.Delft University of Technolog
Micro-elektronica, het bankwezen: Deelstudie van micro-elektronica in beroep en bedrijf; balans en verwachting
No full textUitgave van de Stichting Toekomstbeeld der Techniek.Delft University of Technolog
Micro-elektronica, de grafische industrie en uitgeverijen: Deelstudie van micro-elektronica in beroep en bedrijf; balans en verwachting
No full textUitgave van de Stichting Toekomstbeeld der Techniek.Delft University of Technolog
Micro-elektronica, productinnovatie van consumentenprodukten en diensten voor gebruik in huis: Deelstudie van micro-elektronica in beroep en bedrijf; balans en verwachting
No full textUitgave van de Stichting Toekomstbeeld der Techniek.Delft University of Technolog
Micro-elektronica, de rundveehouderij: Deelstudie van micro-elektronica in beroep en bedrijf; balans en verwachting
No full textUitgave van de Stichting Toekomstbeeld der Techniek.Delft University of Technolog
Micro-elektronica, het ontwerpproces: Deelstudie van micro-elektronica in beroep en bedrijf; balans en verwachting
No full textUitgave van de Stichting Toekomstbeeld der Techniek.Delft University of Technolog
Bootstrapping non-stationary stochastic volatility
No full textThis is the author accepted manuscript. The final version is available from Elsevier via the DOI in this recordIn this paper we investigate to what extent the bootstrap can be applied to conditional mean models, such as regression or time series models, when the volatility
of the innovations is random and possibly non-stationary. In fact, the volatility of
many economic and financial time series displays persistent changes and possible
non-stationarity. However, the theory of the bootstrap for such models has focused
on deterministic changes of the unconditional variance and little is known about
the performance and the validity of the bootstrap when the volatility is driven
by a non-stationary stochastic process. This includes near-integrated exogenous
volatility processes as well as near-integrated GARCH processes, where the conditional variance has a diffusion limit; a further important example is the case where
volatility exhibits infrequent jumps. This paper fills this gap in the literature by developing conditions for bootstrap validity in time series and regression models with
non-stationary, stochastic volatility. We show that in such cases the distribution of
bootstrap statistics (conditional on the data) is random in the limit. Consequently,
the conventional approaches to proofs of bootstrap consistency, based on the notion of weak convergence in probability of the bootstrap statistic, fail to deliver
the required validity results. Instead, we use the concept of ‘weak convergence in
distribution’ to develop and establish novel conditions for validity of the wild bootstrap, conditional on the volatility process. We apply our results to several testing
problems in the presence of non-stationary stochastic volatility, including testing in a location model, testing for structural change using CUSUM-type functionals,
and testing for a unit root in autoregressive models. Importantly, we work under
sufficient conditions for bootstrap validity that include the absence of statistical
leverage effects, i.e., correlation between the error process and its future conditional
variance. The results of the paper are illustrated using Monte Carlo simulations,
which indicate that a wild bootstrap approach leads to size control even in small
samples.Danish Council for Independent ResearchUniversity of BolognaItalian Ministry of University and Researc
Micro-elektronica, het kantoor: Deelstudie van micro-elektronica in beroep en bedrijf; balans en verwachting
No full textUitgave van de Stichting Toekomstbeeld der Techniek.Delft University of Technolog
Micro-elektronica, procesinnovatie in de sector elektro-metaal: Deelstudie van micro-elektronica in beroep en bedrijf; balans en verwachting
No full textUitgave van de Stichting Toekomstbeeld der Techniek.Delft University of Technolog
