eprintid: 20781
rev_number: 12
eprint_status: archive
userid: 2326
dir: disk0/00/02/07/81
datestamp: 2016-05-25 13:12:07
lastmod: 2016-05-30 09:33:17
status_changed: 2016-05-25 13:12:07
type: workingPaper
metadata_visibility: show
creators_name: Maercker, Gisela
creators_name: Moser, Martin
title: Yule-Walker Type Estimators in GARCH(1,1) Models: Asymptotic Normality and Bootstrap
subjects: ddc-510
divisions: i-110400
cterms_swd: GARCH-Prozess
abstract: We investigate GARCH(1,1) processes and first prove their stability.Using the representation of the squared GARCH model as an ARMA model wethen consider Yule-Walker type estimators for the parameters of theGARCH(1,1) model and derive their asymptotic normality.We use a residual bootstrap to define bootstrap estimators for theYule-Walker estimates and prove the consistency of this bootstrapmethod. Some simulation results will demonstrate the small sample behaviour ofthe bootstrap procedure.
date: 1999-06
id_scheme: DOI
id_number: 10.11588/heidok.00020781
schriftenreihe_cluster_id: sr-10a
schriftenreihe_order: 58
ppn_swb: 1656798727
own_urn: urn:nbn:de:bsz:16-heidok-207818
language: eng
bibsort: MAERCKERGIYULEWALKER199906
full_text_status: public
place_of_pub: Heidelberg
pages: 30
citation:   Maercker, Gisela ; Moser, Martin  (1999) Yule-Walker Type Estimators in GARCH(1,1) Models: Asymptotic Normality and Bootstrap.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/20781/1/beitrag.58.pdf