Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
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Publication:2116337
Cites work
- scientific article; zbMATH DE number 1181283 (Why is no real title available?)
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Cited in
(8)- Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk
- Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
- Likelihood asymptotics in nonregular settings: a review with emphasis on the likelihood ratio
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- Small sample adjustment for hypotheses testing on cointegrating vectors
- A residual bootstrap for conditional value-at-risk
- Conditional sum of squares estimation of \(k\)-factor GARMA models
- Inference on GARCH-MIDAS models without any small-order moment
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