Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
type: Item
instance of: scholarly article
title: Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
zbMATH Open document ID: 1254.91679
author: Richard Luger
published in: Computational Statistics and Data Analysis
publication date: 2012-12-30T00:00:00Z
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62F40
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 62F25
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6119747
zbMATH Keywords: conditional heteroskedasticity
zbMATH Keywords: heavy tails
zbMATH Keywords: weak identification
zbMATH Keywords: parametric bootstrap
zbMATH Keywords: Monte Carlo \(p\)-value
zbMATH Keywords: projection technique
MaRDI profile type: Publication
full work available at URL: j.csda.2011.08.008
OpenAlex ID: W1968531451
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DOI: 10.1016/J.CSDA.2011.08.008
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