Bootstrapping Stationary ARMA-GARCH Models

• Κύριος συγγραφέας: Shimizu, Kenichi (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Wiesbaden : Vieweg+Teubner, 2010.
• Θέματα: Mathematics.; Mathematical models.; Probabilities.; Probability Theory and Stochastic Processes.; Mathematical Modeling and Industrial Mathematics.; Mathematics, general.

Bootstrap technique is a useful tool for assessing uncertainty in statistical estimation and thus it is widely applied for risk management. Bootstrap is without doubt a promising technique, however, it is not applicable to all time series models. A wrong application could lead to a false decision to...