Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
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conditional heteroskedasticityheavy tailsMonte Carlo \(p\)-valueparametric bootstrapprojection techniqueweak identification
Parametric tolerance and confidence regions (62F25) Bootstrap, jackknife and other resampling methods (62F40) Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)
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Cited in
(10)- Comparison of specification tests for GARCH models
- Unfolded GARCH models
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
- Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
- On 1/f noise
- scientific article; zbMATH DE number 7289299 (Why is no real title available?)
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- Socle finiteness of the local cohomology
- Statistical inference for the binomial autoregressive model with time-varying parameters
- Bootstrap prediction for returns and volatilities in GARCH models
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