Robust inference under time-varying volatility : a real-time evaluation of professional forecasters
Matei Demetrescu, Christoph Hanck, Robinson Kruse-Becher
| Year of publication: |
2022
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|---|---|
| Authors: | Demetrescu, Matei ; Hanck, Christoph ; Kruse-Becher, Robinson |
| Published in: |
Journal of applied econometrics. - Chichester [u.a.] : Wiley, ISSN 1099-1255, ZDB-ID 1500458-2. - Vol. 37.2022, 5, p. 1010-1030
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| Subject: | structural breaks | bootstrap | forecast evaluation | HAC estimation | hypothesis testing | Strukturbruch | Structural break | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Statistischer Test | Statistical test | Schätzung | Estimation | Bootstrap-Verfahren | Bootstrap approach | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Monte Carlo simulation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Research data: | |
| Other identifiers: | 10.1002/jae.2906 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013464645