Bootstrapping the nonparametric ARCH regression model
DOI10.1016/J.SPL.2014.01.002zbMATH Open1288.62063OpenAlexW2080513782MaRDI QIDQ2452874FDOQ2452874
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
Recommendations
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)
Cites Work
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bootstrap of kernel smoothing in nonlinear time series
- MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
- NONPARAMETRIC ESTIMATORS FOR TIME SERIES
- Bootstrap tests for simple structures in nonparametric time series regression
- 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.
- Title not available (Why is that?)
- Bootstrapping a weighted linear estimator of the ARCH parameters
- Bootstrapping nonparametric estimators of the volatility function.
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