Bootstrapping the nonparametric ARCH regression model

DOI10.1016/J.SPL.2014.01.002MaRDI QIDQ2452874zbMATH OpenOpenAlexFDO

Authors Kenichi Shimizu

Publication date 5 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2014.01.002

zbMATH Keywords

bootstrapkernel estimationnonparametric regressionARCH

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Recommendations

• Bootstrap in nonstationary autoregression.
• Nonparametric bootstrap in heterokedastic time series.
• Bootstrapping nonparametric estimators of the volatility function.
• Bootstrapping a weighted linear estimator of the ARCH parameters
• Bootstrap of kernel smoothing in nonlinear time series

Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bootstrap of kernel smoothing in nonlinear time series
• Bootstrap tests for simple structures in nonparametric time series regression
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• The bootstrap does not always work for heteroscedastic models

Cited in

(6)

• On the consistency of bootstrap testing for a parameter on the boundary of the parameter space
• The fixed volatility bootstrap for a class of \(\mathrm{ARCH}(q)\) models
• Nonparametric bootstrap in heterokedastic time series.
• scientific article; zbMATH DE number 5587077 (Why is no real title available?)
• Bootstrapping a weighted linear estimator of the ARCH parameters
• Bootstrapping nonparametric estimators of the volatility function.

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