Bootstrap inference for GARCH models by the least absolute deviation estimation
From MaRDI portal
bootstrap methodexchangeable weightsGARCH modelsgeneralized bootstrapleast absolute deviation estimatorportmanteau test
Signal detection and filtering (aspects of stochastic processes) (60G35) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)
Recommendations
- Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
- Bootstrapping \(M\)-estimators in generalized autoregressive conditional heteroscedastic models
- Least absolute deviations estimation for ARCH and GARCH models
- Socle finiteness of the local cohomology
- LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
Cites work
- A hybrid bootstrap approach to unit root tests
- A simple resampling method by perturbing the minimand
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bootstrap and wild bootstrap for high dimensional linear models
- Bootstrap Methods for Median Regression Models
- Bootstrap methods: another look at the jackknife
- Bootstrapping the portmanteau tests in weak auto-regressive moving average models
- Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
- Exchangeably weighted bootstraps of the general empirical process
- GARCH processes: structure and estimation
- Generalized autoregressive conditional heteroscedasticity
- Generalized bootstrap for estimating equations
- Generalized bootstrap for estimators of minimizers of convex functions
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- Heteroskedastic time series with a unit root
- scientific article; zbMATH DE number 4043055 (Why is no real title available?)
- scientific article; zbMATH DE number 708500 (Why is no real title available?)
- scientific article; zbMATH DE number 1471718 (Why is no real title available?)
- scientific article; zbMATH DE number 1779497 (Why is no real title available?)
- scientific article; zbMATH DE number 2109191 (Why is no real title available?)
- scientific article; zbMATH DE number 224166 (Why is no real title available?)
- Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
- Least absolute deviations estimation for ARCH and GARCH models
- Limiting distributions for \(L_1\) regression estimators under general conditions
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Moment consistency of the exchangeably weighted bootstrap for semiparametric M-estimation
- Quantile correlations and quantile autoregressive modeling
- Residual-Based Block Bootstrap for Unit Root Testing
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
- Stable Paretian models in finance
- The efficiency of the estimators of the parameters in GARCH processes.
Cited in
(14)- Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
- Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
- Estimating GARCH models: when to use what?
- Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
- Robust and efficient estimation of GARCH models based on Hellinger distance
- Bootstrapping \(M\)-estimators in generalized autoregressive conditional heteroscedastic models
- scientific article; zbMATH DE number 7289299 (Why is no real title available?)
- Quantile estimation of regression models with GARCH-X errors
- LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
- Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models
- Socle finiteness of the local cohomology
- A rank based method for testing ARCH effect and serial correlation of high-dimensional time series
- Bootstrap prediction for returns and volatilities in GARCH models
This page was built for publication: Bootstrap inference for GARCH models by the least absolute deviation estimation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5111776)
