Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations (Q1927104): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Bootstrap of the mean in the infinite variance case / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3822992 / rank
 
Normal rank
Property / cites work
 
Property / cites work: GARCH processes: structure and estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Identification robust confidence set methods for inference on parameter ratios with application to discrete choice models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Handbook of econometrics. Vol. 4 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stationarity of GARCH processes and of some nonnegative time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Finite sample inference for quantile regression models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5388117 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4088122 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3753259 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonlinear Hypotheses, Inequality Restrictions, and Non-Nested Hypotheses: Exact Simultaneous Tests in Linear Regressions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Finite-sample simulation-based inference in VAR models with application to Granger causality testing / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the precision of Calvo parameter estimates in structural NKPC models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modified Randomization Tests for Nonparametric Hypotheses / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pseudo Maximum Likelihood Methods: Theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic properties of the bootstrap for heavy-tailed distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inference in Arch and Garch Models with Heavy-Tailed Errors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Density Estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimates of Location Based on Rank Tests / rank
 
Normal rank
Property / cites work
 
Property / cites work: ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial modeling under non-Gaussian distributions. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the bootstrap of the sample mean in the infinite variance case / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3499189 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing Statistical Hypotheses / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified / rank
 
Normal rank
Property / cites work
 
Property / cites work: When does bootstrap work! Asymptotic results and simulations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simultaneous statistical inference. 2nd ed / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2709279 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4247099 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Introducing Monte Carlo Methods with R / rank
 
Normal rank
Property / cites work
 
Property / cites work: Practical Issues in the Analysis of Univariate GARCH Models / rank
 
Normal rank

Latest revision as of 01:38, 6 July 2024

scientific article
Language Label Description Also known as
English
Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
scientific article

    Statements

    Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations (English)
    0 references
    0 references
    30 December 2012
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    conditional heteroskedasticity
    0 references
    heavy tails
    0 references
    weak identification
    0 references
    parametric bootstrap
    0 references
    Monte Carlo \(p\)-value
    0 references
    projection technique
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references