Bootstrap with serial dependence
Question
Daily strategy losses are serially dependent. Why might an iid row bootstrap misrepresent uncertainty, and what would you consider instead?
Short answer
Independent resampling breaks temporal dependence, potentially understating or overstating uncertainty in statistics that depend on it. Consider block or stationary bootstraps with a defensible block-length sensitivity analysis, or an appropriate analytic dependence-robust estimator. Retain cross-asset dependence when resampling a panel. Neither block resampling nor an asymptotic formula automatically handles structural change or a previously selected strategy.
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