Bootstrap based multi-step ahead joint forecast densities for financial interval-valued time series

DOI10.31801/CFSUASMAS.534711MaRDI QIDQ5083537zbMATH OpenOpenAlexFDO

Authors Beste Hamiye Beyaztas

Publication date 20 June 2022

Published in Communications Faculty Of Science University of Ankara Series A1Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.31801/cfsuasmas.534711

zbMATH Keywords

resampling methodsmultivariate forecastinterval-valued time series

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(3)

• Exploring long-memory process in the prediction of interval-valued financial time series and its application
• Different approaches to forecast interval time series: a comparison in finance
• Carbon price interval prediction method based on probability density recurrence network and interval multi-layer perceptron

Describes a project that uses

Uses Software

• SODAS

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