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- W1535478820 abstract "We compare three methods of constructing confidence intervals for sample autocorrelations of squared returns modeled by models from the GARCH family. We compare the residual bootstrap, block bootstrap and subsampling methods. The residual bootstrap based on the standard GARCH(1,1) model is seen to perform best." @default.
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- W1535478820 date "2004-01-01" @default.
- W1535478820 modified "2023-09-25" @default.
- W1535478820 title "Confidence Intervals for the Autocorrelations of the Squares of GARCH Sequences" @default.
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- W1535478820 doi "https://doi.org/10.1007/978-3-540-25944-2_107" @default.
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