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RE: Re: st: RE: RE: Bootstrap and Technical analysis

From   "Rajesh Tharyan" <>
To   <>
Subject   RE: Re: st: RE: RE: Bootstrap and Technical analysis
Date   Wed, 20 Aug 2008 09:32:09 +0100


For a good refrence on bootstrapping for financial time series.  

Esther Ruiz, Lorenzo Pascual. 2002. Bootstrapping Financial Time Series.
Journal of Economic Surveys 16, no. 3: 271-300.

R and Matlab have routines specifically designed for bootstrapping financial
time series. Google should be able to locate those.


-----Original Message-----
[] On Behalf Of Eva Poen
Sent: 19 August 2008 18:50
To: Statalist
Subject: Re: Re: st: RE: RE: Bootstrap and Technical analysis

2008/8/19 Nick Cox <>:
> So, as far as I can see what you are doing is in principle wrong.

I perfectly agree with Nick. What Mahmoud attempts to do appears
highly problematic, and I personally wouldn't trust any of the
inference. It also appears that he doesn't understand the -bootstrap-
command very well, which I hope to have addressed in my previous

If Mahmoud wants to follow the example he found in a paper, he should
make sure that he perfectly understands what the authors have done. It
seems odd that they applied the standard bootstrap to time series
data, and not some form of a block bootstrap, for a start.

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