Block Bootstrap Prediction Intervals for GARCH Processes
In this paper, we propose a new resampling algorithm based on block bootstrap to obtain prediction intervals for future returns and volatilities of GARCH processes. The finite sample properties of the proposed methods are illustrated by an extensive simulation study and they are applied to Japan Ye...
Wedi'i Gadw mewn:
| Prif Awduron: | , |
|---|---|
| Fformat: | Artigo |
| Iaith: | Inglês |
| Cyhoeddwyd: |
Instituto Nacional de Estatística | Statistics Portugal
2020-10-01
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| Cyfres: | Revstat Statistical Journal |
| Pynciau: | |
| Mynediad Ar-lein: | https://revstat.ine.pt/index.php/REVSTAT/article/view/308 |
| Tagiau: |
Dim Tagiau, Byddwch y cyntaf i dagio'r cofnod hwn!
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