Forecast Evaluation in the Presence of Unobserved Volatility

DOI10.1081/ETC-200028199zbMath1111.62100OpenAlexW2016935869MaRDI QIDQ3157841

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Publication date: 19 January 2005

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/etc-200028199

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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