Bootstraping financial time series

It is well known that time series of returns are characterized by volatility clustering and excess kurtosis. Therefore, when modelling the dynamic behavior of returns, inference and prediction methods, based on independent and/or Gaussian observations may be inadequate. As bootstrap methods are not, in general, based on any particular assumption on the distribution of the data, they are well suited for the analysis of returns. This paper reviews the application of bootstrap procedures for inference and prediction of financial time series. In relation to inference, bootstrap techniques have been applied to obtain the sample distribution of statistics for testing, for example, autoregressive dynamics in the conditional mean and variance, unit roots in the mean, fractional integration in volatility and the predictive ability of technical trading rules. On the other hand, bootstrap procedures have been used to estimate the distribution of returns which is of interest, for example, for Value at Risk (VaR) models or for prediction purposes. Although the application of bootstrap techniques to the empirical analysis of financial time series is very broad, there are few analytical results on the statistical properties of these techniques when applied to heteroscedastic time series. Furthermore, there are quite a few papers where the bootstrap procedures used are not adequate.Publicad

Does X(3872)X(3872) count?

The question on whether or not weakly bound states should be effectively incorporated in a hadronic representation of the QCD partition function is addressed by analyzing the example of the $X(3872)$, a resonance close to the $D\bar D^*$ threshold which has been suggested as an example of a loosely bound molecule. This can be decided by studying the $D \bar D^*$ scattering phase-shifts in the $J^{PC}=1^{++}$ channel and their contribution to the level density in the continuum, which also gives information on its abundance in a hot medium. In this work, it is shown that, in a purely molecular picture, the bound state contribution cancels the continuum, resulting in a null occupation number density at finite temperature, which implies the $X(3872)$ does not count below the Quark-Gluon Plasma crossover ($T \sim 150$MeV). However, if a non-zero $c \bar c$ component is present in the $X(3872)$ wave function such cancellation does not occur for temperatures above $T\gtrsim 250$MeV.Comment: 4 pages, 2 figures. XVII International Conference on Hadron Spectroscopy and Structur

The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances

The objective of this paper is to analyze the consequences of fitting ARIMA-GARCH models to series generated by conditionally heteroscedastic unobserved component models. Focusing on the local level model, we show that the heteroscedasticity is weaker in the ARIMA than in the local level disturbances. In certain cases, the IMA(1,1) model could even be wrongly seen as homoscedastic. Next, with regard to forecasting performance, we show that the prediction intervals based on the ARIMA model can be inappropriate as they incorporate the unit root while the intervals of the local level model can converge to the homoscedastic intervals when the heteroscedasticity appears only in the transitory noise. All the analytical results are illustrated with simulated and real time series

Entrepreneurial orientation and the threat of imitation: the influence of upstream and downstream capabilities

This paper uncovers the complexity between Entrepreneurial Orientation (EO) and performance. The paper explores the effect of the threat of imitation, which is a key external factor to explain competitive dynamics, and hence highlights effectiveness of EO. Also the paper accounts for the role of upstream (technical) and downstream (marketing) capabilities as they influence effectiveness of EO. Our results show that, under threat of imitation, downstream marketing capabilities facilitate taping into opportunities derived from EO, which positively affects performance. Conversely, available upstream technical capabilities do not aim at EO when imitation threats exist in the environment. Of importance is that we question the complexity between EO and performance can be better understood using a configurational approach

The mudejar door of the Casa de Pilatos: content and interpretation of its inscriptions

El presente estudio tiene como objeto el análisis de la puerta de la Casa de Pilatos a través de su epigrafía, bajo el contexto de una larga actividad desarrollada en el ámbito de la tradición mudéjar. Poniendo en valor el significado de sus inscripciones dentro del espacio arquitectónico para el que fueron creadas.The present study aims to analyse the gate of the Casa de Pilatos through its epigraphy and under the context of the Mudejar tradition. Thus, to evaluate the significance of the particular inscriptions on the door within the architectural space for which they were created