v2

latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB

Assets / Bootstrap Returns Simulation

Circular Block Bootstrap Simulation

Simulate asset returns using a circular block bootstrap method.

References

Politis, D. N. and Romano, J. P., A circular block resampling procedure for stationary data, in R. Lepage and L. Billard, eds, Exploring the Limits of Bootstrap, Wiley, New York, pp. 263-270
Dimitris N. Politis & Halbert White (2004) Automatic Block-Length Selection for the Dependent Bootstrap, Econometric Reviews, 23:1, 53-70
Andrew Patton , Dimitris N. Politis & Halbert White (2009) Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White, Econometric Reviews, 28:4, 372-375

post/assets/returns/simulation/bootstrap/circular

Request body

bootstrapBlockLengthinteger

The length of the blocks to use, in time periods; if not provided, defaults to the automated rounded circular block length of the 2nd and 3rd references

simulationsinteger

The number of simulations to perform

simulationsLengthinteger

The number of time period(s) to simulate per simulation; if not provided, defaults to the common length of the assetReturns arrays

v2

Circular Block Bootstrap Simulation

Request body

Response