RESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENT

DOI10.1017/S0266466616000104zbMath1392.62265MaRDI QIDQ5349016

Minsoo Jeong

Publication date: 22 August 2017

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

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)

Related Items (7)

Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models ⋮ A residual bootstrap for conditional value-at-risk ⋮ Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models ⋮ Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH ⋮ Optimal change-point estimation in time series ⋮ A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities ⋮ Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models

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