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Latest revision as of 11:08, 22 July 2024

scientific article; zbMATH DE number 7192114
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English
Robust bootstrap forecast densities for GARCH returns and volatilities
scientific article; zbMATH DE number 7192114

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    Robust bootstrap forecast densities for GARCH returns and volatilities (English)
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    22 April 2020
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    BM estimator
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    outliers
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    smooth bootstrap
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    variance targeting
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    winsorized bootstrap
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