{"product_id":"9783834809926","title":"Bootstrapping Stationary ARMA-GARCH Models","description":"\u003ch1\u003eBootstrapping Stationary ARMA-GARCH Models\u003c\/h1\u003e \u003ch2\u003eShimizu, Kenichi\u003c\/h2\u003e \u003cp\u003eBootstrap 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.\u003cbr\u003e\n\u003cbr\u003e\nKenichi 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.\u003c\/p\u003e \u003ch3\u003eDetails\u003c\/h3\u003e \u003cp\u003ePublished by: Vieweg+Teubner Verlag\u003c\/p\u003e \u003cp\u003ePublication Date: 2010-01-27\u003c\/p\u003e \u003cp\u003eFormat: Paperback\u003c\/p\u003e \u003cp\u003eISBN-13: 9783834809926\u003c\/p\u003e \u003cp\u003eDOI: 10.1007\/978-3-8348-9778-7\u003c\/p\u003e \u003cp\u003eDimensions: 210cm x148cm\u003c\/p\u003e \u003cp\u003ePages: 148\u003c\/p\u003e ","brand":"Vieweg+Teubner Verlag","offers":[{"title":"Default Title","offer_id":46545271062668,"sku":"9783834809926","price":49.49,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0710\/9545\/1788\/files\/9783834809926.jpg?v=1775774529","url":"https:\/\/fh90cf-fv.myshopify.com\/products\/9783834809926","provider":"Late Knight Books and Services, LLC","version":"1.0","type":"link"}