A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities
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Publication:5861023
DOI10.1080/07474938.2020.1761150zbMath1490.62262OpenAlexW2760959444MaRDI QIDQ5861023
João Henrique G. Mazzeu, Gloria González-Rivera, Helena Veiga, Esther Ruiz Ortega
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://economics.ucr.edu/repec/ucr/wpaper/201709.pdf
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09)
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