Residual-based GARCH bootstrap and second order asymptotic refinement

DOI10.1017/S0266466616000104MaRDI QIDQ5349016zbMATH OpenFDO

Authors Minsoo Jeong

Publication date 22 August 2017

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466616000104

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• A goodness-of-fit test for ARCH() models
• Asymptotic distribution of statistics in time series
• Bootstrap Confidence Regions Computed from Autoregressions of Arbitrary Order
• Bootstrap in moving average models
• Bootstrap Methods for Markov Processes
• Bootstrap prediction for returns and volatilities in GARCH models
• Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
• Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Covariance inequalities for strongly mixing processes
• Edgeworth correction by bootstrap in autoregressions
• Extreme Value Theory for GARCH Processes
• GARCH processes: structure and estimation
• Generalized autoregressive conditional heteroscedasticity
• Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
• Higher-order improvements of the parametric bootstrap for Markov processes
• scientific article; zbMATH DE number 4020197 (Why is no real title available?)
• Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
• Mixing: Properties and examples
• Test Inversion Bootstrap Confidence Intervals
• The rate of consistency of the quasi-maximum likelihood estimator.

Cited in

(12)

• Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• Optimal change-point estimation in time series
• Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
• Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models
• Mathematical proof of the third order accuracy of the speedy double bootstrap method
• A bootstrap approach for generalized autocontour testing implications for VIX forecast densities
• Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models
• A residual bootstrap for conditional value-at-risk
• Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises
• Omnibus diagnostic procedures for vector multiplicative errors models
• M-estimation in GARCH models in the absence of higher-order moments

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