Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations (Q1927104)
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scientific article; zbMATH DE number 6119747
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations |
scientific article; zbMATH DE number 6119747 |
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Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations (English)
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30 December 2012
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conditional heteroskedasticity
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heavy tails
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weak identification
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parametric bootstrap
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Monte Carlo \(p\)-value
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projection technique
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0.9238688
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0.8992478
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0.89626145
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0.8907501
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0.8889323
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0.88647723
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0.88074636
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