Bootstrapping Stationary ARMA-GARCH Models

• Main Author: Shimizu, Kenichi (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Vieweg+Teubner, 2010.
• Subjects: 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...

Table of Contents:

• Bootstrap Does not Always Work
• Parametric AR(p)-ARCH(q) Models
• Parametric ARMA(p, q)- GARCH(r, s) Models
• Semiparametric AR(p)-ARCH(1) Models.