Bootstrap Inference for Garch Models by the Least Absolute Deviation Estimation

DOI10.1111/jtsa.12474zbMath1455.62185OpenAlexW2946615309MaRDI QIDQ5111776

Ruochen Zeng, Guodong Li, Qian-Qian Zhu

Publication date: 27 May 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12474

zbMATH Keywords

bootstrap methodGARCH modelsportmanteau testleast absolute deviation estimatorexchangeable weightsgeneralized bootstrap

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items

Robust and efficient estimation of GARCH models based on Hellinger distance, Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models, Quantile Estimation of Regression Models with GARCH-X Errors

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