Tests for equal forecast accuracy under heteroskedasticity
David I. Harvey, Stephen J. Leybourne, Yang Zu
| Year of publication: |
2024
|
|---|---|
| Authors: | Harvey, David I. ; Leybourne, Stephen James ; Zu, Yang |
| Published in: |
Journal of applied econometrics. - Chichester [u.a.] : Wiley, ISSN 1099-1255, ZDB-ID 1500458-2. - Vol. 39.2024, 5, p. 850-869
|
| Subject: | Diebold-Mariano test | forecast accuracy | nonparametric volatility estimation | Prognoseverfahren | Forecasting model | Theorie | Theory | Volatilität | Volatility | Statistischer Test | Statistical test | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Statistischer Fehler | Statistical error | Heteroskedastizität | Heteroscedasticity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/jae.3050 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015156787