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.

Author: Mikabar JoJogul
Country: South Africa
Language: English (Spanish)
Genre: Education
Published (Last): 25 March 2011
Pages: 45
PDF File Size: 11.52 Mb
ePub File Size: 17.79 Mb
ISBN: 237-6-79969-487-4
Downloads: 63414
Price: Free* [*Free Regsitration Required]
Uploader: Mihn

See all condition definitions – opens in a new window or tab See all superbookdeals1 has no other items for sale. Postage cost can’t be calculated. Topics Discussed in This Paper. Bootstrapping statistics Stationary process. Standard Delivery Standard Int’l Postage. Description Postage and payments.

This item is out of stock. Learn More – opens in a new window or tab. This item will be sent through the Global Shipping Programme and includes international tracking. No additional import charges on delivery. Have one to sell?


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

A new, unread, unused book in perfect condition with no missing or damaged pages. The proposed method proceeds by numerically inverting the conventional likelihood ratio test. You’re covered by the eBay Money Back Guarantee if you receive an item that is not as described in the listing. People who viewed this item also viewed. Report item – opens in a new window or tab.

Find out more about your rights as a buyer – opens in a new window or tab and exceptions – opens in a new window or tab. Delivery times may vary, especially during peak periods and will mldels on when your payment clears – opens in a new window or tab.

Read more about the condition. Please enter a valid postcode. Learn more – opens in new window or tab.

Bootstrap of the mean in the infinite variance case. Visit eBay’s page on international selling. Redeem your points Conditions for uk nectar points – opens in a new window or tab.


Seller information superbookdeals1 This item will post to United Statesbut the seller armz-garch specified postage options.

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

See the seller’s listing for full details. Showing of 3 extracted citations. Simulation Search for additional papers on this topic. Citations Publications citing this paper. For additional information, see the Global Shipping Programme terms and conditions – opens in a new window or tab.

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.

Add to Watch list. Contact the seller – opens in a new window or tab and request a postage method to your location. Learn more – opens in a new window or tab.