Bootstrap prediction in univariate volatility models with leverage effect

DOI10.1016/J.MATCOM.2015.07.001OpenAlexW1566153089MaRDI QIDQ2228747

Carlos Trucíos, Luiz Koodi Hotta

Publication date: 19 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2015.07.001

zbMATH Keywords

interval predictioninterval prediction and outlierinterval prediction in EGARCH modelinterval prediction in GJR-GARCH modelvolatility interval prediction

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (3)

Prediction intervals in the beta autoregressive moving average model ⋮ Robust bootstrap forecast densities for GARCH returns and volatilities ⋮ Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk

Cites Work

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• Bootstrap Prediction Intervals for Autoregression
• On Bayesian Modeling of Fat Tails and Skewness
• Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm
• Bootstrap predictive inference for ARIMA processes

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