Ara
Toplam kayıt 2, listelenen: 1-2
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 ...
Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models
(Taylor and Francis Ltd., 2020)
The bootstrap procedure has emerged as a general framework to construct prediction intervals for future observations in autoregressive time series models. Such models with outlying data points are standard in real data ...