Shimizu Bootstrapping Stationary ARMA-GARCH Models

2010
ISBN: 978-3-8348-9778-7
Verlag: Vieweg & Teubner
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 137 Seiten, eBook

Dr. Kenichi Shimizu completed his doctoral thesis at the Department of Mathematics at the Technical University, Braunschweig.

Zielgruppe

Research

Autoren/Hrsg.

Shimizu, Kenichi

Inhaltsverzeichnis

1;Geleitwort;7
2;Acknowledgements;9
3;Contents;10
4;List o igures;12
5;1 Introduction;13
5.1;1.1 Financial Time Series and the GARCH Model;13
5.2;1.2 The Limit of the Classical Statistical Analysis;15
5.3;1.3 An Alternative Approach: the Bootstrap Techniques;17
5.4;1.4 Structure of the Book;19
6;2 Bootstrap Does not Always Work;20
6.1;2.1 Estimation of Heteroscedasticity and Bootstrap;21
6.1.1;2.1.1 Simple Residual Bootstrap Does not Work;21
6.1.2;2.1.2 Wild Bootstrap Usually Does not Work;23
6.2;2.2 Result of a False Application: the VaR Model;24
6.2.1;2.2.1 VaR Model;25
6.2.2;2.2.2 Simulations;26
7;3 Parametric AR(p)-ARCH(q) Models;29
7.1;3.1 Estimation Theory;29
7.1.1;3.1.1 Model and Assumptions;30
7.1.2;3.1.2 OLS Estimation;32
7.1.2.1;3.1.2.1 AR part;33
7.1.2.2;3.1.2.2 ARCH part;37
7.2;3.2 Residual Bootstrap;47
7.3;3.3 Wild Bootstrap;62
7.4;3.4 Simulations;70
8;4 Parametric ARMA(p, q)GARCH(r, s) Models;75
8.1;4.1 Estimation Theory;75
8.1.1;4.1.1 Model and Assumptions;76
8.1.2;4.1.2 QML Estimation;77
8.2;4.2 Residual Bootstrap;78
8.3;4.3 Wild Bootstrap;86
8.4;4.4 Simulations;90
9;5 Semiparametric AR(p)-ARCH(1) Models;94
9.1;5.1 Estimation Theory;94
9.1.1;5.1.1 Model and Assumptions;95
9.1.2;5.1.2 NW Estimation;96
9.1.2.1;5.1.2.1 The imaginary case where ?t are known;97
9.1.2.2;5.1.2.2 The standard case where ?t are unknown;98
9.2;5.2 Residual Bootstrap;107
9.3;5.3 Wild Bootstrap;124
9.4;5.4 Simulations;126
10;Appendix;129
10.1;A Central Limit Theorems;130
10.2;B Miscellanea;132
11;Bibliography;134
12;Index;137

Bootstrap does not always work - parametric AR(p)-ARCH(q) models - parametric ARMA(p,q)-GARCH(r,s) models - semiparametric AR(p)-ARCH(1) models

Über Autor(innen)

Dr. Kenichi Shimizu completed his doctoral thesis at the Department of Mathematics at the Technical University, Braunschweig.