Time-varying NoVaS versus GARCH : point prediction, volatility estimation and prediction intervals
Jie Chen and Dimitris N. Politis
| Year of publication: |
2020
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|---|---|
| Authors: | Chen, Jie ; Politis, Dimitris N. |
| Published in: |
Journal of time series econometrics. - Berlin : De Gruyter, ISSN 1941-1928, ZDB-ID 2493596-7. - Vol. 12.2020, 2, p. 1-36
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| Subject: | time-varying data | non-stationarity | structural breaks | realized volatility | interval prediction | locally stationary data | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Strukturbruch | Structural break | Schätztheorie | Estimation theory | Schätzung | Estimation | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/jtse-2019-0044 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012300649