ARCH models for multi-period forecast uncertainty: a reality check using a panel of density forecasts

DOI10.1016/S0731-9053(05)20012-9MaRDI QIDQ3571973zbMATH OpenOpenAlexFDO

Authors Kajal Lahiri, Fushang Liu

Publication date 30 June 2010

Published in Advances in Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0731-9053(05)20012-9

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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