Mancini, Loriano; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We propose a general robust semiparametric bootstrap method to estimate conditional predictive distributions of GARCH-type models. Our approach is based on a robust estimator for the parameters in GARCH-type models and a robustified resampling method for standardized GARCH residuals, which...