Prediction in dynamic models with time-dependent conditional variances

DOI10.1016/0304-4076(92)90066-ZzbMath0850.62902OpenAlexW1966342924MaRDI QIDQ1185107

Tim Bollerslev, Richard T. Baillie

Publication date: 28 June 1992

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(92)90066-z

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Related Items (29)

Forecast Evaluation in the Presence of Unobserved Volatility ⋮ Joint Selection of the Model and the Information Set in Heteroskedastic Dynamic Models ⋮ Reconciling the term structure of interest rates with the consumption-based ICAP model ⋮ Nonstationary generalised autoregressive conditional heteroskedasticity modelling for fitting higher order moments of financial series within moving time windows ⋮ Long memory processes and fractional integration in econometrics ⋮ Modeling and pricing long memory in stock market volatility ⋮ Inventory control under temporal demand heteroscedasticity ⋮ Common volatility and correlation clustering in asset returns ⋮ Forecasting energy commodity prices using neural networks ⋮ Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach ⋮ GARCH density and functional forecasts ⋮ Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis. ⋮ Tracking volatility ⋮ Bootstrapping forecast intervals in ARCH models ⋮ ARCH modeling in finance. A review of the theory and empirical evidence ⋮ Prediction in dynamic models with time-dependent conditional variances ⋮ New and fast block bootstrap-based prediction intervals for GARCH(1,1) process with application to exchange rates ⋮ Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes ⋮ Probabilistic forecasting of wave height for offshore wind turbine maintenance ⋮ Bootstrap prediction for returns and volatilities in GARCH models ⋮ A new estimator method for GARCH models ⋮ Adjusting forecast intervals in arch‐m models ⋮ Incorporating higher moments into value-at-risk forecasting ⋮ FINANCIAL AND OTHER SPATIO-TEMPORAL TIME SERIES: LONG-RANGE CORRELATIONS AND SPECTRAL PROPERTIES ⋮ Minimum distance estimation of GARCH(1,1) models ⋮ ARMA representation of integrated and realized variances ⋮ Dynamic density forecasts for multivariate asset returns ⋮ Approximation methods for multiple period Value at Risk and Expected Shortfall prediction ⋮ Stationarity of stable power-GARCH processes.

Cites Work

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