Bootstrapping M-estimators in generalized autoregressive conditional heteroscedastic models

DOI10.1093/biomet/asaa023zbMath1451.62094OpenAlexW3022562991MaRDI QIDQ5127219

No author found.

Publication date: 21 October 2020

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/asaa023

zbMATH Keywords

weighted bootstrap\(M\)-estimationgeneralized autoregressive conditional heteroscedastic model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Nonparametric statistical resampling methods (62G09)

Related Items (1)

Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models

This page was built for publication: Bootstrapping M-estimators in generalized autoregressive conditional heteroscedastic models