Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes (Q3018538)
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scientific article; zbMATH DE number 5932437
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| English | Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes |
scientific article; zbMATH DE number 5932437 |
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Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes (English)
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27 July 2011
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financial time series
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volatility forecasting
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bootstrap
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non-Gaussian distribution
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0.873669445514679
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0.8700070381164551
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0.8268278241157532
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0.7535675764083862
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