Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes

DOI10.1002/for.1197zbMath1217.91140MaRDI QIDQ3018538

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Publication date: 27 July 2011

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: http://dyuthi.cusat.ac.in/purl/2856

zbMATH Keywords

bootstrap; financial time series; volatility forecasting; non-Gaussian distribution

Mathematics Subject Classification ID

91B82: Statistical methods; economic indices and measures

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