Testing Interval Forecasts: A GMM‐Based Approach
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Publication:4687313
DOI10.1002/for.1260zbMath1397.62529OpenAlexW1491996401WikidataQ57186375 ScholiaQ57186375MaRDI QIDQ4687313
Elena Dumitrescu, Christophe Hurlin, Jaouad Madkour
Publication date: 11 October 2018
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-00618467/file/IF2011.pdf
density forecastsforecast uncertaintystock market indexes\(J\)-statistichigh-density regionvalidation method
Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)