Inference in VARs with conditional heteroskedasticity of unknown form
Ralf Brüggemann, Carsten Jentsch, Carsten Trenkler
| Year of publication: |
March 2016
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| Authors: | Brüggemann, Ralf ; Jentsch, Carsten ; Trenkler, Carsten |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 191.2016, 1, p. 69-85
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| Subject: | VAR | Conditional heteroskedasticity | Mixing | Residual-based moving block bootstrap | Pairwise bootstrap | Wild bootstrap | Bootstrap-Verfahren | Bootstrap approach | Heteroskedastizität | Heteroscedasticity | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.10.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011594405