Cargando…
Bootstrapping Stationary ARMA-GARCH Models
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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Wiesbaden :
Vieweg+Teubner Verlag : Imprint: Vieweg+Teubner Verlag,
2010.
|
| Edición: | 1st ed. 2010. |
| Temas: | |
| Acceso en línea: | Texto Completo |
Tabla de Contenidos:
- 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.