Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
Bei Chen, Yulia R. Gel, N. Balakrishna and Bovas Abraham
| Year of publication: |
2011
|
|---|---|
| Authors: | Chen, Bei ; Gel, Yulia R. ; Balakrishna, N. ; Abraham, Bovas |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 30.2011, 1, p. 51-71
|
| Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Bootstrap-Verfahren | Bootstrap approach | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009233916