v2

latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB

Assets / Bootstrap Returns Simulation

Stationary Block Bootstrap Simulation

Simulate asset returns using a stationary block bootstrap method.

References

Politis, D. N. and Romano, J. P., The stationary bootstrap, Journal of the American Statistical Association 89, 1303-1313
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/stationary

Request body

bootstrapAverageBlockLengthnumber

The average length of the blocks to use, in time periods; if not provided, defaults to the automated stationary 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

Stationary Block Bootstrap Simulation

Request body

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