Bootstrapping Stationary ARMA-GARCH Models
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...
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| Format: | Electronic |
| Language: | English |
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Wiesbaden :
Vieweg+Teubner,
2010.
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| Online Access: | https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-8348-9778-7 |