Corradi, Valentina; Iglesias, Emma M. - In: Journal of Econometrics 144 (2008) 2, pp. 500-510
This paper reconsiders a block bootstrap procedure for Quasi Maximum Likelihood estimation of GARCH models, based on the resampling of the likelihood function, as proposed by Gonçalves and White [2004. Maximum likelihood and the bootstrap for nonlinear dynamic models. Journal of Econometrics...