The bootstrap does not always work for heteroscedastic models

DOI10.1524/STRM.2013.1088MaRDI QIDQ2855511zbMATH OpenOpenAlexFDO

Authors Kenichi Shimizu

Publication date 25 October 2013

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1524/strm.2013.1088

zbMATH Keywords

ARMA-GARCHforecastingstationary time series

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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• scientific article; zbMATH DE number 1775003

Cited in

(8)

• Testing the existence of moments for GARCH processes
• Bootstrapping the nonparametric ARCH regression model
• Bootstrapping an autoregressive time series model using SAS
• Tests for conditional ellipticity in multivariate GARCH models
• Residual-based GARCH bootstrap and second order asymptotic refinement
• Risk Measure Inference
• Inference on GARCH-MIDAS models without any small-order moment
• Inference on dynamic systemic risk measures

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