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The bootstrap does not alwayswork for heteroscedasticmodels

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  • Shimizu Kenichi

    (Institut für Mathematische Stochastik Technische, Universität Braunschweig Pockelsstrasse 14, 38106 Braunschweig, Germany)

Abstract

This paper demonstrates the cases where bootstrap does not work for heteroscedastic time series models. We construct prediction intervals for the ARMA-GARCH models using bootstrap and see how a wrong application of bootstrap could lead to a false conclusion

Suggested Citation

  • Shimizu Kenichi, 2013. "The bootstrap does not alwayswork for heteroscedasticmodels," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 189-204, August.
    • Handle: RePEc:bpj:strimo:v:30:y:2013:i:3:p:189-204:n:1
    DOI: 10.1524/strm.2013.1088
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    References listed on IDEAS

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    1. Jens‐Peter Kreiss & Jürgen Franke, 1992. "Bootstrapping Stationary Autoregressive Moving‐Average Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(4), pages 297-317, July.
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    Cited by:

    1. Christophe Hurlin & Sébastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2017. "Risk Measure Inference," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 499-512, October.

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