Bootstrap Standard Errors for Correlation Parameters — correlation_bootstrap

Unified bootstrap SE computation for DCC, CGARCH, and GOGARCH correlation models.

Usage

correlation_bootstrap_se(
  model_type = c("dcc", "cgarch", "gogarch"),
  residuals,
  weights,
  mle_result,
  n_boot = 200,
  method = c("residual", "parametric"),
  distribution = "mvn",
  verbose = TRUE,
  seed = NULL,
  ...
)

Arguments

model_type: Type of correlation model: "dcc", "cgarch", or "gogarch"
residuals: T x k matrix of standardized residuals (or copula residuals)
weights: T-vector of observation weights
mle_result: List containing MLE estimates (model-specific structure)
n_boot: Number of bootstrap replications (default 200)
method: Bootstrap method: "residual" or "parametric"
distribution: Distribution: "mvn", "mvt", "norm", "std"
verbose: Print progress
seed: Random seed for reproducibility
...: Additional model-specific arguments

Value

List with bootstrap results