Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
DOI10.1016/j.csda.2011.08.008zbMath1254.91679MaRDI QIDQ1927104
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2011.08.008
conditional heteroskedasticity; heavy tails; parametric bootstrap; weak identification; projection technique; Monte Carlo \(p\)-value
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F25: Parametric tolerance and confidence regions
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G32: Statistics of extreme values; tail inference
62F40: Bootstrap, jackknife and other resampling methods
91B84: Economic time series analysis
91B82: Statistical methods; economic indices and measures
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