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Forecasting intraday financial time series with sieve bootstrapping and dynamic updating
Shang, Han Lin; Ji, Kaiying - In: Journal of forecasting 42 (2023) 8, pp. 1973-1988
Persistent link: https://www.econbiz.de/10014432826
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Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
Chen, Bei; Gel, Yulia R.; Balakrishna, N.; Abraham, Bovas - In: Journal of forecasting 30 (2011) 1, pp. 51-71
Persistent link: https://www.econbiz.de/10009233916
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Multiple hypothesis testing of market risk forecasting models
Esposito, Francesco P.; Cummins, Mark - In: Journal of forecasting 35 (2016) 5, pp. 381-399
Persistent link: https://www.econbiz.de/10011580778
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A GARCH model selection and estimation method based on neural network with the loss function of mean square error and model confidence set
Huang, Yanhao; Ren, Ruibin - In: Journal of forecasting 43 (2024) 8, pp. 3177-3193
Persistent link: https://www.econbiz.de/10015110618
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Impulse response analysis in vector autoregressions with unknown lag order
Kilian, Lutz - In: Journal of forecasting 20 (2001) 3, pp. 161-179
Persistent link: https://www.econbiz.de/10001570835
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A neural network versus black-scholes : a comparison of pricing and hedging performances
Amilon, Henrik - In: Journal of forecasting 22 (2003) 4, pp. 317-335
Persistent link: https://www.econbiz.de/10001775829
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Bootstrap prediction intervals for autoregressive models of unknown or infinite lag order
Kim, Jae H. - In: Journal of forecasting 21 (2002) 4, pp. 265-280
Persistent link: https://www.econbiz.de/10001700330
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Conditional predictability of daily exchange rates
Tambakis, Demosthenes Nicholas; Royen, Anne-Sophie van - In: Journal of forecasting 21 (2002) 5, pp. 301-315
Persistent link: https://www.econbiz.de/10001688510
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A comparison of methods for bootstrapping in the local level model
Franco, Glaura C.; Souza, Reinaldo Castro - In: Journal of forecasting 21 (2002) 1, pp. 27-38
Persistent link: https://www.econbiz.de/10001650446
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Bias-corrected bootstrap prediction regions for vector autoregression
Kim, Jae H. - In: Journal of forecasting 23 (2004) 2, pp. 141-154
Persistent link: https://www.econbiz.de/10001980729