Konu "Prediction" için İktisadi ve İdari Bilimler Fakültesi listeleme
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Block Bootstrap Prediction Intervals For Garch Processes
(Inst Nacional Estatistica-Ine, 2020)In this paper, we propose a new resampling algorithm based on block bootstrap to obtain prediction intervals for future returns and volatilities of GARCH processes. The finite sample properties of the proposed methods are ...