Theory of the “Bootstrap” in Econometric Models with Time Varying Volatility
There is reason to cast serious doubts on the econometric or statistical grounds for many of the conclusions reached in vital areas such as empirically grounded policy analysis and risk assessments in finance.
Anders Rahbek and his team will provide econometric theory with new innovative bootstrap schemes applied to key econometric models with time-varying volatility. These include studies of bubble formation and dynamics, co-movements of volatility, financial contagion, and analysis of defaults and risk.
The team will propose a new theory for convergence in order to establish validity of the bootstrap in models with time-varying volatility. We next consider non-standard testing based on bootstrapping with “parameters on the boundary” for discrete and continuous univariate and multivariate volatility models.
Project members will consider bootstrap applied to non-causal and double autoregressive models with heavy-tails from bubble modeling. And they will classify and test for different types of co-volatility in multivariate volatility models.
Project period: June 2017 - June 2021
Researchers
| Name | Title | Job responsibilities | |
|---|---|---|---|
| Anders Rahbek | Professor | Financial Econometrics; Econometric Time Series Analysis; Bootstrap; GARCH and Volatility Modeling; Co-integration Analysis |
|
Funded by:
Theory of the "Bootstrap" in Econometric TModels with Time Varying Volatility has received a five year funding from Independent research Foundation Denmark.
Period: June 2017 - Juni 2021
Contact
Principal Investigator Anders Rahbek