Authors: | Dette, Holger Weißbach, Rafael |
Title: | A bootstrap test for the comparison of nonlinear time series - with application to interest rate modelling |
Language (ISO): | en |
Abstract: | We study the drift of stationary diffusion processes in a time series analysis of the autoregression function. A marked empirical process measures the difference between the nonparametric regression functions of two time series. We bootstrap the distribution of a Kolmogorov-Smirnov-type test statistic for two hypotheses: Equality of regression functions and shifted regression functions. Neither markovian behavior nor Brownian motion error of the processes are assumed. A detailed simulation study finds the size of the new test near the nominal level and a good power for a variety of parametric models. The two-sample result serves to test for mean reversion of the diffusion drift in several examples. The interest rates Euribor, Libor as well as T-Bond yields do not show that stylized feature often modelled for interest rates. |
Subject Headings: | Comparision of conditional expectations Cox-Ingersoll-Ross Interest rate Local linear estimation Mean reversion Nonparametric autoregressive time series Ornstein-Uhlenbeck Wild bootstrap |
URI: | http://hdl.handle.net/2003/22692 http://dx.doi.org/10.17877/DE290R-14438 |
Issue Date: | 2006-08-07T12:12:30Z |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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tr30-06.pdf | DNB | 238.13 kB | Adobe PDF | View/Open |
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