Bootstrapping stationary ARMA-GARCH models:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Wiesbaden
Vieweg + Teubner
2010
|
| Ausgabe: | 1. ed. |
| Schriftenreihe: | Vieweg + Teubner research
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 129 S. graph. Darst. |
| ISBN: | 9783834809926 |
Internformat
MARC
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| 245 | 1 | 0 | |a Bootstrapping stationary ARMA-GARCH models |c Kenichi Shimizu |
| 250 | |a 1. ed. | ||
| 264 | 1 | |a Wiesbaden |b Vieweg + Teubner |c 2010 | |
| 300 | |a XII, 129 S. |b graph. Darst. | ||
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Datensatz im Suchindex
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|---|---|
| adam_text | IMAGE 1
CONTENTS
1 INTRODUCTION 1
1.1 FINANCIAL TIME SERIES AND THE GARCH MODEL 1
1.2 THE LIMIT OF THE CLASSICAL STATISTICAL ANALYSIS 3
1.3 AN ALTERNATIVE APPROACH: THE BOOTSTRAP TECHNIQUES 5 1.4 STRUCTURE OF
THE BOOK 7
2 BOOTSTRAP DOES NOT ALWAYS WORK 9
2.1 ESTIMATION OF HETEROSCEDASTICITY AND BOOTSTRAP 10
2.2 RESULT OF A FALSE APPLICATION: THE VAR MODEL 13
3 PARAMETRIC AR(P)-ARCH(Q) MODELS 19
3.1 ESTIMATION THEORY 19
3.2 RESIDUAL BOOTSTRAP 37
3.3 WILD BOOTSTRAP 52
3.4 SIMULATIONS 60
4 PARAMETRIC ARMA(P,Q)-GARCH(R,S) MODELS 65
4.1 ESTIMATION THEORY 65
4.2 RESIDUAL BOOTSTRAP 68
4.3 WILD BOOTSTRAP 76
4.4 SIMULATIONS 80
5 SEMIPARAMETRIC AR(P)-ARCH(L) MODELS 85
5.1 ESTIMATION THEORY 85
5.2 RESIDUAL BOOTSTRAP 98
5.3 WILD BOOTSTRAP 115
5.4 SIMULATIONS 117
APPENDIX 121
A CENTRAL LIMIT THEOREMS 123
B MISCELLANEA 125
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/996781153
DIGITALISIERT DURCH
IMAGE 2
XII CONTENTS
BIBLIOGRAPHY 127
INDEX 131
|
| any_adam_object | 1 |
| author | Shimizu, Kenichi |
| author_GND | (DE-588)140392475 |
| author_facet | Shimizu, Kenichi |
| author_role | aut |
| author_sort | Shimizu, Kenichi |
| author_variant | k s ks |
| building | Verbundindex |
| bvnumber | BV037340821 |
| classification_rvk | QH 237 |
| ctrlnum | (OCoLC)699543562 (DE-599)DNB996781153 |
| dewey-full | 519.54 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.54 |
| dewey-search | 519.54 |
| dewey-sort | 3519.54 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. ed. |
| format | Thesis Book |
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| indexdate | 2024-07-09T23:22:27Z |
| institution | BVB |
| isbn | 9783834809926 |
| language | English |
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| physical | XII, 129 S. graph. Darst. |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Vieweg + Teubner |
| record_format | marc |
| series2 | Vieweg + Teubner research |
| spelling | Shimizu, Kenichi Verfasser (DE-588)140392475 aut Bootstrapping stationary ARMA-GARCH models Kenichi Shimizu 1. ed. Wiesbaden Vieweg + Teubner 2010 XII, 129 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Vieweg + Teubner research Zugl.: Braunschweig, Techn. Univ., Diss., 2009 Bootstrap-Statistik (DE-588)4139168-8 gnd rswk-swf GARCH-Prozess (DE-588)4346436-1 gnd rswk-swf ARMA-Modell (DE-588)4002933-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content ARMA-Modell (DE-588)4002933-5 s GARCH-Prozess (DE-588)4346436-1 s Bootstrap-Statistik (DE-588)4139168-8 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022494545&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Shimizu, Kenichi Bootstrapping stationary ARMA-GARCH models Bootstrap-Statistik (DE-588)4139168-8 gnd GARCH-Prozess (DE-588)4346436-1 gnd ARMA-Modell (DE-588)4002933-5 gnd |
| subject_GND | (DE-588)4139168-8 (DE-588)4346436-1 (DE-588)4002933-5 (DE-588)4113937-9 |
| title | Bootstrapping stationary ARMA-GARCH models |
| title_auth | Bootstrapping stationary ARMA-GARCH models |
| title_exact_search | Bootstrapping stationary ARMA-GARCH models |
| title_full | Bootstrapping stationary ARMA-GARCH models Kenichi Shimizu |
| title_fullStr | Bootstrapping stationary ARMA-GARCH models Kenichi Shimizu |
| title_full_unstemmed | Bootstrapping stationary ARMA-GARCH models Kenichi Shimizu |
| title_short | Bootstrapping stationary ARMA-GARCH models |
| title_sort | bootstrapping stationary arma garch models |
| topic | Bootstrap-Statistik (DE-588)4139168-8 gnd GARCH-Prozess (DE-588)4346436-1 gnd ARMA-Modell (DE-588)4002933-5 gnd |
| topic_facet | Bootstrap-Statistik GARCH-Prozess ARMA-Modell Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022494545&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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