|
|
|
|
| LEADER |
02033nmm a2200301 u 4500 |
| 001 |
EB000394362 |
| 003 |
EBX01000000000000000247415 |
| 005 |
00000000000000.0 |
| 007 |
cr||||||||||||||||||||| |
| 008 |
130626 ||| eng |
| 020 |
|
|
|a 9783834897787
|
| 100 |
1 |
|
|a Shimizu, Kenichi
|
| 245 |
0 |
0 |
|a Bootstrapping Stationary ARMA-GARCH Models
|h Elektronische Ressource
|c by Kenichi Shimizu
|
| 250 |
|
|
|a 1st ed. 2010
|
| 260 |
|
|
|a Wiesbaden
|b Vieweg+Teubner Verlag
|c 2010, 2010
|
| 300 |
|
|
|a 148 p. 12 illus
|b online resource
|
| 505 |
0 |
|
|a 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
|
| 653 |
|
|
|a Mathematics, general
|
| 653 |
|
|
|a Mathematical Modeling and Industrial Mathematics
|
| 653 |
|
|
|a Mathematics
|
| 653 |
|
|
|a Probability Theory and Stochastic Processes
|
| 653 |
|
|
|a Probabilities
|
| 653 |
|
|
|a Mathematical models
|
| 041 |
0 |
7 |
|a eng
|2 ISO 639-2
|
| 989 |
|
|
|b Springer
|a Springer eBooks 2005-
|
| 856 |
4 |
0 |
|u https://doi.org/10.1007/978-3-8348-9778-7?nosfx=y
|x Verlag
|3 Volltext
|
| 082 |
0 |
|
|a 519.2
|
| 520 |
|
|
|a 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 take too much risk. 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
|