A bootstrap approach for Generalized Autocontour testing Implications for VIX forecast densities
João Henrique G. Mazzeu, Gloria González-Rivera, Esther Ruiz, and Helena Veiga
| Year of publication: |
2020
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|---|---|
| Authors: | Mazzeu, João Henrique Gonçalves ; González-Rivera, Gloria ; Ruiz, Esther ; Veiga, Helena |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 39.2020, 10, p. 971-990
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| Subject: | HAR model | model evaluation | Multiplicative Error Model | PIT | Bootstrap-Verfahren | Bootstrap approach | Prognoseverfahren | Forecasting model | Theorie | Theory | Schätzung | Estimation | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2020.1761150 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012406197