Bootstrapping Stationary ARMA-GARCH Models

Bootstrap technique is a useful tool for assessing uncertainty in statistical estimation and thus it is widely applied for risk management. Bootstrap is without doubt a promising technique, however, it is not applicable to all time series models. A wrong application could lead to a false decision to take too much risk. Kenichi Shimizu investigates the limit of the two standard bootstrap techniques (the residual and the wild bootstrap) when these are applied to the conditionally heteroscedastic m