New and fast block bootstrap-based prediction intervals for GARCH(1,1) process with application to exchange rates

DOI10.1007/s13171-017-0098-2zbMath1387.62098MaRDI QIDQ1744731

Xianqiang Yang

Publication date: 19 April 2018

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-017-0098-2

zbMATH Keywords

prediction; Spearman's rank correlation; financial time series; resampling methods

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G09: Nonparametric statistical resampling methods

Uses Software

• dtw