Bootstrap forecast intervals for asymmetric volatilities via EGARCH model
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Publication:2979589
DOI10.1080/03610926.2015.1014105zbMath1462.62543OpenAlexW2317557839MaRDI QIDQ2979589
Publication date: 25 April 2017
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2015.1014105
Cites Work
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- Bootstrapping forecast intervals in ARCH models
- Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Automatic Block-Length Selection for the Dependent Bootstrap