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In: Methodology and Computing in Applied Probability, 2005, vol. 7, no. 2, p. 139-148
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In: ASTIN Bulletin, 2005, vol. 35, no. 1, p. 25-43
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In: ASTIN Bulletin, 1997, vol. 27, no. 1, p. 117-137
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In: Journal of financial econometrics, 2011, vol. 9, no. 2, p. 281-313
This paper proposes a robust semiparametric bootstrap method to estimate predictive distributions of GARCH-type models. The method is based on a robust estimation of parametric GARCH models and a robustified resampling scheme for GARCH residuals that controls bootstrap instability due to outlying observations. A Monte Carlo simulation shows that our robust method provides more accurate VaR...
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