Bootstrap based probability forecasting in multiplicative error models
From MaRDI portal
Recommendations
- Specification tests for multiplicative error models
- Fitting a \(p\)th order parametric generalized linear autoregressive multiplicative error model
- Diagnostic checking of Markov multiplicative error models
- Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
- Evaluating multiplicative error models: a residual-based approach
Cites work
- A Conditional Kolmogorov Test
- A family of autoregressive conditional duration models
- A goodness-of-fit test for a class of autoregressive conditional duration models
- A goodness-of-fit test for ARCH() models
- A misspecification test for multiplicative error models of non-negative time series processes
- A multiple indicators model for volatility using intra-daily data
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
- A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
- Bootstrap prediction for returns and volatilities in GARCH models
- Bootstrapping modified goodness-of-fit statistics with estimated parameters
- Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
- Diagnostic checking of Markov multiplicative error models
- Econometric modelling of stock market intraday activity.
- Financial econometric analysis at ultra-high frequency: Data handling concerns
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
- Fitting a two phase threshold multiplicative error model
- Handbook of Volatility Models and Their Applications
- scientific article; zbMATH DE number 3962966 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Modeling the interdependence of volatility and inter-transaction duration processes.
- Nonparametric specification tests for conditional duration models
- Non‐monotonic hazard functions and the autoregressive conditional duration model
- On conditionally heteroscedastic AR models with thresholds
- On the measurability and consistency of minimum contrast estimates
- Probabilistic forecasts of volatility and its risk premia
- Probability density function estimation using gamma kernels
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Some asymptotic theory for the bootstrap
- Specification tests for multiplicative error models
- Strictly Proper Scoring Rules, Prediction, and Estimation
- The efficiency of the estimators of the parameters in GARCH processes.
- The Volatility of Realized Volatility
Cited in
(11)- Analytic and bootstrap approximations of prediction errors under a multivariate Fay-Herriot model
- A minimum distance lack-of-fit test in a Markovian multiplicative error model
- The use of Smooth Bootstrap Techniques for Estimating the Error Rate of a Prediction Rule
- Bootstrap Mean Squared Error of Prediction in Loss Reserving
- A bootstrap approach for generalized autocontour testing implications for VIX forecast densities
- Bootstrap specification tests for dynamic conditional distribution models
- A class of minimum distance estimators in Markovian multiplicative error models
- Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
- Bootstrap inference for Hawkes and general point processes
- Omnibus diagnostic procedures for vector multiplicative errors models
- Estimation error and bootstrapping in the chain-ladder model of Mack
This page was built for publication: Bootstrap based probability forecasting in multiplicative error models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2224997)
