Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes (Q3018538)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes |
scientific article |
Statements
Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes (English)
0 references
27 July 2011
0 references
financial time series
0 references
volatility forecasting
0 references
bootstrap
0 references
non-Gaussian distribution
0 references
