Bootstrap prediction for returns and volatilities in GARCH models
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Publication:959315
DOI10.1016/j.csda.2004.12.008zbMath1445.62314OpenAlexW2038389749MaRDI QIDQ959315
Lorenzo Pascual, Juan J. Romo, Esther Ruiz Ortega
Publication date: 11 December 2008
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/14820
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09) Economic time series analysis (91B84)
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Uses Software
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