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Confidence intervals based on estimators with unknown rates of convergence

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  • Sherman, Michael
  • Carlstein, Edward

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  • Sherman, Michael & Carlstein, Edward, 2004. "Confidence intervals based on estimators with unknown rates of convergence," Computational Statistics & Data Analysis, Elsevier, vol. 46(1), pages 123-139, May.
    • Handle: RePEc:eee:csdana:v:46:y:2004:i:1:p:123-139
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    References listed on IDEAS

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    1. M. Rajarshi, 1990. "Bootstrap in Markov-sequences based on estimates of transition density," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(2), pages 253-268, June.
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    Cited by:

    1. Pedersen, Rasmus Søndergaard, 2016. "Targeting Estimation Of Ccc-Garch Models With Infinite Fourth Moments," Econometric Theory, Cambridge University Press, vol. 32(2), pages 498-531, April.
    2. Spierdijk, Laura, 2016. "Confidence intervals for ARMA–GARCH Value-at-Risk: The case of heavy tails and skewness," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 545-559.
    3. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.

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