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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10001727625

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - In: Journal of econometrics 123 (2004) 1, pp. 89-120

Persistent link: https://www.econbiz.de/10002223733

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia (contributor); Kilian, Lutz (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001947544

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10011431797

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Kilian, Lutz - 2016

Persistent link: https://www.econbiz.de/10012991261

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Gonçalves, Sílvia; Kilian, Lutz - 2021

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10013320164

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia - 2002

Persistent link: https://www.econbiz.de/10013434522

Box-Cox transforms for realized volatility

Gonçalves, Sílvia; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 129-144

Persistent link: https://www.econbiz.de/10009242530

Bootstrapping pre-averaged realized volatility under market microstructure noise

Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - 2013

Persistent link: https://www.econbiz.de/10009790617

Bootstrapping realized multivariate volatility measures

Dovonon, Prosper; Gonçalves, Sílvia; Meddahi, Nour - In: Journal of econometrics 172 (2013) 1, pp. 49-65

Persistent link: https://www.econbiz.de/10009702319

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