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~isPartOf:"Working Papers / Abteilung für Volkswirtschaftslehre, Universität Mannheim"
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Conditional heteroskedasticity
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Pairwise bootstrap
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Residual-based moving block bootstrap
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Inference in VARs with Conditional Heteroskedasticity of Unknown Form
Brüggemann, Ralf
;
Jentsch, Carsten
;
Trenkler, Carsten
-
Abteilung für Volkswirtschaftslehre, Universität Mannheim
-
2014
also show that wild and
pairwise
bootstrap
schemes fail in the presence of conditional heteroskedasticity if inference on …
Persistent link: https://www.econbiz.de/10010986691
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