A bootstrap approach for Generalized Autocontour testing Implications for VIX forecast densities
Year of publication: |
2020
|
---|---|
Authors: | Mazzeu, João Henrique Gonçalves ; González-Rivera, Gloria ; Ruiz, Esther ; Veiga, Helena |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 39.2020, 10, p. 971-990
|
Subject: | HAR model | model evaluation | Multiplicative Error Model | PIT | Theorie | Theory | Bootstrap-Verfahren | Bootstrap approach | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | Schätzung | Estimation |
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