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VAR-Modell
wild bootstrap
8
pairwise bootstrap
7
Conditional heteroskedasticity
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Pairwise bootstrap
5
Residual-based moving block bootstrap
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VAR
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Wild bootstrap
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robust inference
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Bootstrap-Verfahren
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Zeitreihenanalyse
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Bootstrap approach
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Heteroscedasticity
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GARCH
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VAR model
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bootstrap par couples
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hétéroscédasticité conditionnelle
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stochastic volatility
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ARCH-Prozess
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Bootstrap-Statistik
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Mixing
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Pairwise Bootstrap
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Stochastic process
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Wild Bootstrap
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autoregression d'ordre infini
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conditional heteroskedasticity
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Brüggemann, Ralf
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Jentsch, Carsten
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Trenkler, Carsten
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Journal of econometrics
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Inference in VARs with conditional heteroskedasticity of unknown form
Brüggemann, Ralf
;
Jentsch, Carsten
;
Trenkler, Carsten
-
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/10011490564
Saved in:
2
Inference in VARs with conditional heteroskedasticity of unknown form
Brüggemann, Ralf
;
Jentsch, Carsten
;
Trenkler, Carsten
- In:
Journal of econometrics
191
(
2016
)
1
,
pp. 69-85
Persistent link: https://www.econbiz.de/10011594405
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