Forecasting in the presence of large shocks

DOI10.1016/0165-1889(96)00911-6zbMath0875.90219OpenAlexW2057036492MaRDI QIDQ671541

Robert F. Phillips

Publication date: 27 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(96)00911-6

zbMATH Keywords

EM algorithmOutliersForecast intervalsParametric bootstrap

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (4)

ON THE CAUSALITY TEST IN TIME SERIES MODELS WITH HEAVY-TAILED DISTRIBUTION ⋮ Forecasting volatility in GARCH models with additive outliers ⋮ Partially adaptive estimation of nonlinear models via a normal mixture ⋮ Partially adaptive estimation of autoregressive processes via a normal mixture

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