Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Giuseppe Cavaliere, Heino Bohn Nielsen, Rasmus Søndergaard Pedersen, Anders Rahbek
| Year of publication: |
2022
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|---|---|
| Authors: | Cavaliere, Giuseppe ; Bohn Nielsen, Heino ; Pedersen, Rasmus Søndergaard ; Rahbek, Anders |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 227.2022, 1, p. 241-263
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| Subject: | ARCH models | Bootstrap | Inference on the boundary | Nuisance parameters | Bootstrap-Verfahren | Bootstrap approach | ARCH-Modell | ARCH model | Volatilität | Volatility | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.05.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013441653