Bootstrap forecast intervals for asymmetric volatilities via EGARCH model (Q2979589): Difference between revisions

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+Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
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+The jackknife and the bootstrap for general stationary observations
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+An econometric analysis of asymmetric volatility: theory and application to patents
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+Bootstrapping forecast intervals in ARCH models
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Bootstrap prediction for returns and volatilities in GARCH models
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+Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
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+Automatic Block-Length Selection for the Dependent Bootstrap
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+Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
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