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Książka Bootstrapping Stationary ARMA-GARCH Models Kenichi Shimizu

Bootstrapping Stationary ARMA-GARCH Models

Autor: Kenichi Shimizu
Język: Angielski
Oprawa: Miękka
Wydawca: Springer Fachmedien Wiesbaden
Dostępność: Dostępna u dostawcy
Wysyłamy za 5-8 dni
214.72 zł
Bootstrap technique is a useful tool for assessing uncertainty in statistical estimation and thus it...

Informacje o książce

Autor
Kenichi Shimizu
Język
Angielski
Oprawa
Książka - Miękka
Data wydania
2010
strony
148
EAN
9783834809926
ISBN
9783834809926
Enbook ID
08923897
Wydawca
Springer Fachmedien Wiesbaden
Waga
295
Wymiary
148 x 210 x 8

Pełny opis

Bootstrap technique is a useful tool for assessing uncertainty in statistical estimation and thus it is widely applied for risk management. Bootstrap is without doubt a promising technique, however, it is not applicable to all time series models. A wrong application could lead to a false decision to take too much risk. Kenichi Shimizu investigates the limit of the two standard bootstrap techniques (the residual and the wild bootstrap) when these are applied to the conditionally heteroscedastic models, such as the ARCH and the GARCH models. The author shows that the wild bootstrap usually does not work well when one estimates conditional heteroscedasticity of Engle´s ARCH or Bollerslev´s GARCH models while the residual bootstrap works without problems. Together with the theoretical investigation simulation studies from the application of the proposed bootstrap methods are demonstrated.

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