Bootstrap tests for parametric volatility structure in nonparametric autoregression

MaRDI QIDQ2769688zbMATH OpenFDO

Authors Michael H. Neumann, Jens-Peter Kreiß

Publication date 13 May 2002

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Bootstrapping Autoregression under Non-stationary Volatility
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
• Bootstrapping nonparametric estimators of the volatility function.
• Bootstrap union tests for unit roots in the presence of nonstationary volatility
• Bootstrapping non-stationary stochastic volatility
• Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility
• Bootstrap tests for simple structures in nonparametric time series regression
• A nonparametric unit root test under nonstationary volatility
• A bootstrap approach for generalized autocontour testing implications for VIX forecast densities

Cited in

(5)

• Testing for multivariate volatility functions using minimum volume sets and inverse regression
• Parametric specification test for nonlinear autoregressive models
• Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility
• Bootstrap tests for simple structures in nonparametric time series regression
• Bootstrap methods for dependent data: a review

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