Bootstrap inference for GARCH models by the least absolute deviation estimation

DOI10.1111/JTSA.12474zbMATH Open1455.62185OpenAlexW2946615309MaRDI QIDQ5111776FDOQ5111776

Qianqian Zhu, Ruochen Zeng, Guodong Li

Publication date: 27 May 2020

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

Full work available at URL: https://doi.org/10.1111/jtsa.12474

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zbMATH Keywords

GARCH modelsbootstrap methodportmanteau testleast absolute deviation estimatorexchangeable weightsgeneralized bootstrap

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

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Cited In (11)

• Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
• Quantile Estimation of Regression Models with GARCH-X Errors
• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
• Bootstrap prediction for returns and volatilities in GARCH models
• Socle finiteness of the local cohomology
• Robust and efficient estimation of GARCH models based on Hellinger distance
• Estimating GARCH models: when to use what?
• Title not available (Why is that?)
• Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
• Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models

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