The bootstrap does not alwayswork for heteroscedasticmodels

Summary This paper demonstrates the cases where bootstrap does not work for heteroscedastic time series models. We construct prediction intervals for the ARMA-GARCH models using bootstrap and see how a wrong application of bootstrap could lead to a false conclusion

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Year of publication:	2013
Authors:	Shimizu, Kenichi
Published in:	Statistics & Decisions. - OLDENBOURG WISSENSCHAFTSVERLAG, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 30.2013, 3, p. 189-204
Publisher:	OLDENBOURG WISSENSCHAFTSVERLAG
Subject:	ARMA-GARCH \| stationary time series \| bootstrap \| forecasting

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.1524/strm.2013.1088 [DOI]
Source:	Other ZBW resources

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014622230