Bootstrapping a weighted linear estimator of the ARCH parameters

DOI10.1111/J.1467-9892.2009.00613.XMaRDI QIDQ3077651zbMATH OpenOpenAlexFDO

Authors Kanchan Mukherjee, Arup Bose

Publication date 22 February 2011

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2009.00613.x

zbMATH Keywords

asymptotic distributionquasi-maximum likelihood estimate

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
• A Weighted Linear Estimator of Multivariate ARCH Parameters
• Bootstrapping the nonparametric ARCH regression model
• Bootstrapping \(M\)-estimators in generalized autoregressive conditional heteroscedastic models
• Inference in Arch and Garch Models with Heavy-Tailed Errors

Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
• Generalized bootstrap for estimating equations
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Pseudo‐likelihood estimation in ARCH models
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

Cited in

(10)

• \(L_{p}\)-estimators in ARCH models
• Bootstrap of linear model with AR-error structure
• Bootstrapping the nonparametric ARCH regression model
• A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference
• Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
• A Weighted Linear Estimator of Multivariate ARCH Parameters
• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
• The fixed volatility bootstrap for a class of \(\mathrm{ARCH}(q)\) models
• Bootstrapping \(M\)-estimators in generalized autoregressive conditional heteroscedastic models
• Nonparametric estimation of a time-varying GARCH model

This page was built for publication: Bootstrapping a weighted linear estimator of the ARCH parameters

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3077651)