theory approach may arise if sampling is not too frequent. This motivates our use of the bootstrap as an alternative tool of … sample performance of the bootstrap is superior to the existing first-order asymptotic theory. Nevertheless, and contrary to … heterogeneous under stochastic volatility …

Recently there has been a great deal of interest in modeling volatility fluctuations. ARCH models, for example, provide … parsimonious approximations to volatility dynamics. Here we provide a selective amount of certain aspects of conditional volatility …