Robust bootstrap forecast densities for GARCH returns and volatilities

DOI10.1080/00949655.2017.1359601OpenAlexW2744367813MaRDI QIDQ5106994

Carlos Trucíos, Esther Ruiz Ortega, Luiz Koodi Hotta

Publication date: 22 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2017.1359601

zbMATH Keywords

outlierssmooth bootstrapvariance targetingBM estimatorwinsorized bootstrap

Mathematics Subject Classification ID

Statistics (62-XX)

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