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RESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENT—ADDENDUM - MaRDI portal

RESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENT—ADDENDUM

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DOI10.1017/S0266466618000166zbMath1392.62266WikidataQ129786609 ScholiaQ129786609MaRDI QIDQ4643228

Minsoo Jeong

Publication date: 24 May 2018

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

econometrics residual-based bootstrap generalized autoregressive conditional heteroscedasticity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09)

Cites Work

ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY

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