A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities

DOI10.1080/07474938.2020.1761150zbMath1490.62262MaRDI QIDQ5861023

João Henrique G. Mazzeu, Gloria González-Rivera, Helena Veiga, Esther Ruiz Ortega

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://economics.ucr.edu/repec/ucr/wpaper/201709.pdf

zbMATH Keywords

model evaluation; HAR model; multiplicative error model; PIT

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G09: Nonparametric statistical resampling methods

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