Hi,
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.
Cheers
rajesh
-----Original Message-----
From: [email protected]
[mailto:[email protected]] 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 <[email protected]>:
> 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
email.
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.
Eva
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