Abstract
In this chapter we extend the results of the previous chapter to the parametric ARMA (p, q)-GARCH (r, s) model estimated by the QML method. In the first section we sketch the estimation theory based on Francq and Zakoïan (2004). Then, analogously to the previous chapter, possible applications of the residual and the wild bootstrap are proposed and their weak consistency investigated. These theoretical results are confirmed by simulations in the last section
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© 2010 Vieweg+Teubner | GWV Fachverlage GmbH
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Shimizu, K. (2010). Parametric ARMA(p, q)- GARCH(r, s) Models. In: Bootstrapping Stationary ARMA-GARCH Models. Vieweg+Teubner. https://doi.org/10.1007/978-3-8348-9778-7_4
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DOI: https://doi.org/10.1007/978-3-8348-9778-7_4
Publisher Name: Vieweg+Teubner
Print ISBN: 978-3-8348-0992-6
Online ISBN: 978-3-8348-9778-7
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