Philipp Christian Kless defends his PhD thesis at the Department of Economics
Candidate: Philipp Christian Kless
Title: "New Bootstrap Methods for Financial and Economic Time Series"
Time and venue
20 May 2019 at 10:00, University of Copenhagen, Centre for Health and Society, Øster Farimagsgade 5, 1353 Copenhagen K, building 26, CSS, 26.2.21.
Asssessment Committee
Professor Heino Bohn Nielsen, Department of Economics, University of Copenhagen, Denmark (chairman)
Professor Esther Ruíz Ortega, Universidad Carlos III de Madrid, Spain
Professor Giuseppe Cavaliere, University of Bologna, Italy
Abstract
The bootstrap is a promising simulation tool that can help to solve complicated statistical problems with no tractable solution. Specifically, the fundamental idea of the bootstrap is to use re-sampling methods to approximate otherwise unknown properties of an estimator.
This thesis investigates bootstrap methods for financial and economic time series to do forecasting. The results are presented in three self-contained parts which include theory, simulations, and empirics for the implemented bootstrap method.
The three parts are:
- Smoothed Bootstrap Forecasts for Autoregressive Conditionally Heteroscedastic
Models - Bootstrap Forecasts for the Poisson Autogressive Model
- Estimation Uncertainty in GARCH Option Prices