Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity

DOI10.1080/07474930701624462zbMath1126.62079OpenAlexW1979325061MaRDI QIDQ5436943

Lutz Kilian, Sílvia Gonçalves

Publication date: 18 January 2008

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

Full work available at URL: https://doi.org/10.1080/07474930701624462

zbMATH Keywords

bootstrapGARCHautoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

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