Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
DOI10.1016/j.csda.2011.08.008zbMath1254.91679OpenAlexW1968531451MaRDI QIDQ1927104
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2011.08.008
conditional heteroskedasticityheavy tailsparametric bootstrapweak identificationprojection techniqueMonte Carlo \(p\)-value
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Bootstrap, jackknife and other resampling methods (62F40) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)
Related Items (4)
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