Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals
From MaRDI portal
Publication:2019875
DOI10.1515/JTSE-2019-0044OpenAlexW3040792161MaRDI QIDQ2019875FDOQ2019875
Authors: Jie Chen, Dimitris Politis
Publication date: 22 April 2021
Published in: Journal of Time Series Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jtse-2019-0044
structural breaksnon-stationarityrealized volatilityinterval predictionlocally stationary datatime-varying data
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Statistical inference for time-varying ARCH processes
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Title not available (Why is that?)
- Fitting time series models to nonstationary processes
- A Haar–Fisz technique for locally stationary volatility estimation
- Time series analysis: Methods and applications
- Title not available (Why is that?)
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
- Title not available (Why is that?)
- Model-free prediction and regression. A transformation-based approach to inference
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Changes of structure in financial time series and the GARCH model
- Change-point estimation in ARCH models
- Neglecting parameter changes in GARCH models
- Least absolute deviations estimation for ARCH and GARCH models
- Consistent ranking of volatility models
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Volatility forecasting using threshold heteroskedastic models of the intra-day range
- Testing for parameter constancy in GARCH\((p,q)\) models
- Realized volatility forecasting and option pricing
- Bootstrap prediction intervals for Markov processes
- Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
- Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations
- Normalized least-squares estimation in time-varying ARCH models
- A recursive online algorithm for the estimation of time-varying ARCH parameters
This page was built for publication: Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2019875)