Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Year of publication: |
2011
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Authors: | Corradi, Valentina ; Swanson, Norman |
Publisher: |
New Brunswick, NJ : Rutgers University, Department of Economics |
Subject: | Prognoseverfahren | Zeitreihenanalyse | Modellierung | Schätztheorie | Theorie | block bootstrap | diffusion processes | jumps | nonparametric simulated quasi maximum likelihood | parameter estimation error | recursive estimation | stochastic volatility |
Series: | Working Paper ; 2011-12 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 662033450 [GVK] hdl:10419/59484 [Handle] RePEc:rut:rutres:201112 [RePEc] |
Classification: | C22 - Time-Series Models ; C51 - Model Construction and Estimation |
Source: |
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Swanson, Norman R., (2011)
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Armah, Nii Ayi, (2011)
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Corradi, Valentina, (2011)
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Corradi, Valentina, (2013)
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