Bootstrapping Stationary ARMA-GARCH Models (Record no. 113032)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02283nam a22003975i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-3-8348-9778-7 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20140220084553.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 101031s2010 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9783834897787 |
| -- | 978-3-8348-9778-7 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1007/978-3-8348-9778-7 |
| Source of number or code | doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | QA1-939 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | PB |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | MAT000000 |
| Source | bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 510 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Shimizu, Kenichi. |
| Relator term | author. |
| 245 10 - TITLE STATEMENT | |
| Title | Bootstrapping Stationary ARMA-GARCH Models |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | by Kenichi Shimizu. |
| 264 #1 - | |
| -- | Wiesbaden : |
| -- | Vieweg+Teubner, |
| -- | 2010. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 148 p. 12 illus. |
| Other physical details | online resource. |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Bootstrap Does not Always Work -- Parametric AR(p)-ARCH(q) Models -- Parametric ARMA(p, q)- GARCH(r, s) Models -- Semiparametric AR(p)-ARCH(1) Models. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | Bootstrap 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. Kenichi 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 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. Simulation studies from the application of the proposed bootstrap methods are demonstrated together with the theoretical investigation. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics, general. |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY | |
| Title | Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9783834809926 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://dx.doi.org/10.1007/978-3-8348-9778-7 |
| 912 ## - | |
| -- | ZDB-2-SMA |
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