The Fixed Volatility Bootstrap for a Class of Arch(q) Models

DOI10.1111/jtsa.12421zbMath1402.62196OpenAlexW2886644436MaRDI QIDQ4556518

Anders Rahbek, Giuseppe Cavaliere, Rasmus Søndergaard Pedersen

Publication date: 16 November 2018

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12421

zbMATH Keywords

hypothesis testingfixed volatility bootstrap

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (5)

Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models ⋮ Bootstrap inference for Hawkes and general point processes ⋮ A residual bootstrap for conditional value-at-risk ⋮ Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH ⋮ Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models

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