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Search: subject:"pairwise bootstrap"
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Conditional heteroskedasticity
3
Pairwise bootstrap
2
Residual-based moving block bootstrap
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VAR
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Wild bootstrap
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pairwise bootstrap
2
wild bootstrap
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GARCH
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robust inference
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stochastic volatility
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Brüggemann, Ralf
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Gonçalves, Sílvia
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Jentsch, Carsten
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Trenkler, Carsten
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KILIAN, Lutz
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Kilian, Lutz
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Abteilung für Volkswirtschaftslehre, Universität Mannheim
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Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
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European Central Bank
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Fachbereich Wirtschaftswissenschaften, Universität Konstanz
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Working Papers / Abteilung für Volkswirtschaftslehre, Universität Mannheim
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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
Saved in:
2
Inference in VARs with Conditional Heteroskedasticity of Unknown Form
Brüggemann, Ralf
;
Jentsch, Carsten
;
Trenkler, Carsten
-
Fachbereich Wirtschaftswissenschaften, Universität Konstanz
-
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/10011070846
Saved in:
3
Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form
Gonçalves, Sílvia
;
KILIAN, Lutz
-
Centre Interuniversitaire de Recherche en Économie …
-
2003
pairwise
bootstrap
. In a simulation study, all three procedures tend to be more accurate in small samples than the conventional …
Persistent link: https://www.econbiz.de/10005729624
Saved in:
4
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia
;
Kilian, Lutz
-
European Central Bank
-
2002
pairwise
bootstrap
. In a simulation study all three procedures tend to be more accurate in small samples than the conventional …
Persistent link: https://www.econbiz.de/10005816215
Saved in:
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