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The Fixed Volatility Bootstrap for a Class of ARCH(q) Models
Giuseppe Cavaliere,
Rasmus Søndergaard Pedersen
,
Anders Rahbek
2
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Alfabetisk
Mathematics
Conditionals
100%
Asymptotic Theory
66%
Asymptotics
66%
Maximum Likelihood
33%
Residuals
33%
Independent Sequence
33%
Autoregressive Model
33%
Wald
33%
Conditional Variance
33%
Monte Carlo
33%
Asymptotic Analysis
33%
Bootstrap Sample
33%
Nonlinear
33%
Bootstrap Method
33%
Dependence Structure
33%
Regressors
33%
Conditional Independence
33%
Keyphrases
Bootstrap
100%
Volatility
100%
Finite Sample Performance
18%
Asymptotic Test
18%
Asymptotic Theory
18%
Regressor
9%
Theoretical Properties
9%
Bootstrap Method
9%
Asymptotic Analysis
9%
Bootstrap Test
9%
Fixed Design
9%
Small Sample Size
9%
Conditional Independence
9%
Conditional Variance
9%
ARCH Model
9%
Monte Carlo Experiment
9%
Conditional Dependence
9%
Residual-based
9%
Estimated Residuals
9%
Bootstrap Sampling
9%
Wald Statistic
9%
Dependence Structure
9%
Autoregressive Model
9%
Conditional Mean
9%
Independent Sequence
9%
Volatility Modelling
9%
Quasi-maximum Likelihood Estimation
9%