In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Francisco Blasques, Siem Jan Koopman, Katarzyna Łasak, André Lucas
| Year of publication: |
July-September 2016
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|---|---|
| Authors: | Blasques, Francisco ; Koopman, Siem Jan ; Łasak, Katarzyna ; Lucas, André |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 32.2016, 3, p. 875-887
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| Subject: | Autoregressive conditional duration | Generalized autoregressive conditional heteroskedasticity | Score driven models | Time-varying mean | Delta-method | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2015.11.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011621857