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dc.contributor.authorLopez-Oriona, Ángel
dc.contributor.authorVilar, José
dc.date.accessioned2022-12-27T10:24:41Z
dc.date.available2022-12-27T10:24:41Z
dc.date.issued2022
dc.identifier.citationLopez-Oriona, Ángel; José A. Vilar. The bootstrap for testing the equality of two multivariate time series with an application to financial markets. Information Sciences 616 (2022), p. 255–275. https://doi.org/10.1016/j.ins.2022.10.048es_ES
dc.identifier.urihttp://hdl.handle.net/2183/32232
dc.descriptionFinanciado para publicación en acceso aberto: Universidade da Coruna/CISUGes_ES
dc.description.abstract[Abstract]: The problem of testing the equality of the generating processes of two multivariate time series is addressed in this work. To this aim, we construct four tests based on a distance measure between stochastic processes. The metric is defined in terms of the quantile cross-spectral densities of both processes. A proper estimate of this dissimilarity is the cornerstone of the proposed tests. The first test employs the asymptotic distribution of the estimate, which we derive from some standard results on complex random variables and which is useful in its own right. The bad behaviour of this test when compared with alternative ones is shown. The three remaining techniques are based on the bootstrap. Specifically, a particular bootstrap method for spectral densities and extensions of the moving blocks bootstrap and the stationary bootstrap are used for their construction. The approaches are assessed in a broad range of cenarios under the null and the alternative hypothesis. The results from the analyses show that the procedure based on the stationary bootstrap exhibits the best overall performance in terms of both ize and power. The proposed techniques are used to answer the question about whether or not the dotcom bubble crash of 2000s permanently impacted the global market behavior.es_ES
dc.description.sponsorshipMinisterio de Economia y Competitividad (MINECO); MTM2017-82724-R, PID2020-113578RB-100es_ES
dc.description.sponsorshipXunta de Galicia; ED431C-2020-14es_ES
dc.description.sponsorshipCentro de Investigacion del Sistema Universitario de Galicia "CITIC"; ED431G 2019/01es_ES
dc.language.isoenges_ES
dc.publisherElsevieres_ES
dc.relation.urihttps://doi.org/10.1016/j.ins.2022.10.048es_ES
dc.rightsCreative Commons License Attribution 4.0 International (CC BY 4.0)es_ES
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/es/*
dc.subjectMultivariate time serieses_ES
dc.subjectQuantile cross-spectral densityes_ES
dc.subjectFrequency domaines_ES
dc.subjectMoving blocks bootstrapes_ES
dc.subjectStationary bootstrapes_ES
dc.subjectDotcom bubblees_ES
dc.titleThe bootstrap for testing the equality of two multivariate time series with an application to financial marketses_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.rights.accessinfo:eu-repo/semantics/openAccesses_ES
UDC.journalTitleInformation Scienceses_ES
UDC.volume616es_ES
UDC.startPage255es_ES
UDC.endPage275es_ES


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