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About this book
Kenichi Shimizu investigates the limit of the two standard bootstrap techniques, the residual and the wild bootstrap, when these are applied to the conditionally heteroscedastic models, such as the ARCH and GARCH models. The author shows that the wild bootstrap usually does not work well when one estimates conditional heteroscedasticity of Engle’s ARCH or Bollerslev’s GARCH models while the residual bootstrap works without problems. Simulation studies from the application of the proposed bootstrap methods are demonstrated together with the theoretical investigation.
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Bibliographic Information
Book Title: Bootstrapping Stationary ARMA-GARCH Models
Authors: Kenichi Shimizu
DOI: https://doi.org/10.1007/978-3-8348-9778-7
Publisher: Vieweg+Teubner Verlag Wiesbaden
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Vieweg+Teubner Verlag | Springer Fachmedien Wiesbaden GmbH, Wiesbaden 2010
Softcover ISBN: 978-3-8348-0992-6Published: 27 January 2010
eBook ISBN: 978-3-8348-9778-7Published: 01 November 2010
Edition Number: 1
Number of Pages: 148
Number of Illustrations: 12 b/w illustrations
Topics: Probability Theory and Stochastic Processes, Mathematical Modeling and Industrial Mathematics, Mathematics, general