Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals (Q2019875): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Realized volatility forecasting and option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing for parameter constancy in GARCH\((p,q)\) models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Volatility forecasting using threshold heteroskedastic models of the intra-day range / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fitting time series models to nonstationary processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time series analysis: Methods and applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Statistical inference for time-varying ARCH processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A recursive online algorithm for the estimation of time-varying ARCH parameters / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diagnostic Checking in ARMA Models With Uncorrelated Errors / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Haar–Fisz technique for locally stationary volatility estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Normalized least-squares estimation in time-varying ARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Predicting volatility: getting the most out of return data sampled at different frequencies / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4840212 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consistent ranking of volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Neglecting parameter changes in GARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Change-point estimation in ARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3433265 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bootstrap prediction intervals for Markov processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Least absolute deviations estimation for ARCH and GARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Model-free prediction and regression. A transformation-based approach to inference / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5521155 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4692920 / rank
 
Normal rank

Latest revision as of 01:14, 25 July 2024

scientific article
Language Label Description Also known as
English
Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals
scientific article

    Statements

    Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals (English)
    0 references
    0 references
    0 references
    22 April 2021
    0 references
    time-varying data
    0 references
    non-stationarity
    0 references
    structural breaks
    0 references
    realized volatility
    0 references
    interval prediction
    0 references
    locally stationary data
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers