articleJournal of EconometricsApr 2, 2004Closed access

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

ŚGŚılvia Gonçalves LKLutz Kilian

Université de Montréal · Center for Interuniversity Research and Analysis on Organizations · +3 more institutions

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638

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FWCI: 15.84
Percentile: 100%
References: 58

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Authors

2

ŚG
Śılvia GonçalvesCorresponding
Université de Montréal, Center for Interuniversity Research and Analysis on Organizations
LK
Lutz Kilian
European Central Bank, Center for Economic and Policy Research, University of Michigan–Ann Arbor

Topics & keywords

Topics

Keywords

Heteroscedasticity
Econometrics
Bootstrapping (finance)
Residual
Autoregressive model
Mathematics
Autoregressive conditional heteroskedasticity
Standard error

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