Bootstrap refinements for QML estimators of the GARCH(1,1) parameters (Q295411): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+F12
@@ Property / Mathematics Subject Classification ID: 62F12 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G09
@@ Property / Mathematics Subject Classification ID: 62G09 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 62E20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
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@@ Property / zbMATH DE Number @@
+6592775
@@ Property / zbMATH DE Number: 6592775 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+block bootstrap
@@ Property / zbMATH Keywords: block bootstrap / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Edgeworth expansion
@@ Property / zbMATH Keywords: Edgeworth expansion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+higher order refinements
@@ Property / zbMATH Keywords: higher order refinements / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+quasi maximum likelihood
@@ Property / zbMATH Keywords: quasi maximum likelihood / rank @@
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@@ Property / zbMATH Keywords @@
+GARCH
@@ Property / zbMATH Keywords: GARCH / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2008.03.003
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@@ Property / OpenAlex ID @@
+W2138069662
@@ Property / OpenAlex ID: W2138069662 / rank @@
+Normal rank
@@ Property / cites work @@
+Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
+Normal rank
@@ Property / cites work @@
+End-of-Sample Instability Tests
@@ Property / cites work: End-of-Sample Instability Tests / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
+Normal rank
@@ Property / cites work @@
+Edgeworth correction by bootstrap in autoregressions
+Normal rank
@@ Property / cites work @@
+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
+Normal rank
@@ Property / cites work @@
+Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
+Normal rank
@@ Property / cites work @@
+Maximum likelihood and the bootstrap for nonlinear dynamic models
+Normal rank
@@ Property / cites work @@
+Asymptotic expansions for sums of weakly dependent random vectors
+Normal rank
@@ Property / cites work @@
+Asymptotic distribution of statistics in time series
+Normal rank
@@ Property / cites work @@
+Convergence rates for U-statistics and related statistics
+Normal rank
@@ Property / cites work @@
+Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
+Normal rank
@@ Property / cites work @@
+A goodness-of-fit test for ARCH(\(\infty\)) models
+Normal rank
@@ Property / cites work @@
+Bootstrap Methods for Markov Processes
@@ Property / cites work: Bootstrap Methods for Markov Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Bootstrapping Autoregressive Processes with Possible Unit Roots
+Normal rank
@@ Property / cites work @@
+BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
+Normal rank
@@ Property / cites work @@
+The jackknife and the bootstrap for general stationary observations
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@@ Property / cites work @@
+ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
@@ Property / cites work: ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
+Normal rank
@@ Property / cites work @@
+Bootstrap prediction for returns and volatilities in GARCH models
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@@ Property / cites work @@
+Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
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@@ links / mardi / name / links / mardi / name @@
+Publication:295411