The bootstrap does not alwayswork for heteroscedasticmodels

DOI10.1524/STRM.2013.1088zbMath1273.62224OpenAlexW2049404706MaRDI QIDQ2855511

Kenichi Shimizu

Publication date: 25 October 2013

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/strm.2013.1088

zbMATH Keywords

forecastingstationary time seriesARMA-GARCH

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (3)

Bootstrapping the nonparametric ARCH regression model ⋮ Tests for conditional ellipticity in multivariate GARCH models ⋮ Testing the existence of moments for GARCH processes

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