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Effects of parameter estimation on prediction densities: a bootstrap approach

Pascual, Lorenzo; Romo, Juan; Ruiz, Esther - In: International Journal of Forecasting 17 (2001) 1, pp. 83-103

Persistent link: https://www.econbiz.de/10005428762

Bootstrap prediction intervals for power-transformed time series

Pascual, Lorenzo; Romo, Juan; Ruiz, Esther - In: International Journal of Forecasting 21 (2005) 2, pp. 219-235

Persistent link: https://www.econbiz.de/10005418314

Introduction to nonlinearities, business cycles, and forecasting

Garcia-Ferrer, Antonio; Gooijer, Jan G. De; Poncela, Pilar - In: International Journal of Forecasting 21 (2005) 4, pp. 623-625

Persistent link: https://www.econbiz.de/10005418565

Prediction intervals in conditionally heteroscedastic time series with stochastic components

Pellegrini, Santiago; Ruiz, Esther; Espasa, Antoni - In: International Journal of Forecasting 27 (2011) 2, pp. 308-319

Differencing is a very popular stationary transformation for series with stochastic trends. Moreover, when the differenced series is heteroscedastic, authors commonly model it using an ARMA-GARCH model. The corresponding ARIMA-GARCH model is then used to forecast future values of the original...

Persistent link: https://www.econbiz.de/10010573800

Prediction intervals in conditionally heteroscedastic time series with stochastic components

Pellegrini, Santiago; Ruiz, Esther; Espasa, Antoni - In: International Journal of Forecasting 27 (2011) 2, pp. 308-319

Persistent link: https://www.econbiz.de/10008871362