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

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

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In stationarry 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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