BOOTSTRAPPING STATIONARY ARMA-GARCH MODELS PDF

BOOTSTRAPPING STATIONARY ARMA-GARCH MODELS PDF

Editorial Reviews. From the Back Cover. Bootstrap technique is a useful tool for assessing Bootstrapping Stationary ARMA-GARCH Models Edition, Kindle Edition. by Kenichi Shimizu (Author). GARCH parameters estimation and model diagnostics. xGARCH GARCH basics. Logreturns {Xt } are more likely to be stationary, hence suitable .. function g(·). ▷ Hybrid models: Regression-GARCH, ARMA-GARCH. Bootstrap technique is a useful tool for assessing uncertainty in statistical estimation and thus it is widely applied for risk management.

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Read more about the condition. Topics Discussed in This Paper. In order to hedge against the risk of a spurious rejection, candidate points that are rejected by the conventional test undergo a finite-sample parametric bootstrap test.

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Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations

Kenichi Shimizu completed his doctoral thesis at the Department of Mathematics at the Technical University, Braunschweig. People who viewed this item also viewed. Postage cost can’t be calculated. Have one to sell?

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Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations – Semantic Scholar

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Bootstrapping Stationary ARMA-GARCH Models – Kenichi Shimizu – Google Books

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