Rubin & Schenker (1986) proposed the approximate Bayesian bootstrap, a two-stage resampling procedure, as a method of creating multiple imputations when missing data are ignorable. Kim (2002) showed ...

In this paper, the authors refer to the axiomatic theory of risk and investigate the problem of formal verification of the expected shortfall (ES) model based on a sample ES. Recognizing the ...

Bootstrap procedures for local projections typically rely on assuming that the data generating process (DGP) is a finite order vector autoregression (VAR), often taken to be that implied by the local ...

We consider infinite-dimensional Hilbert space-valued random variables that are assumed to be temporal dependent in a broad sense. We prove a central limit theorem for the moving block bootstrap and ...