NoVaS Transformations: Flexible Inference for Volatility Forecasting
Year of publication: |
2008-04-08
|
---|---|
Authors: | Politis, Dimitris N ; Thomakos, Dimitrios D |
Institutions: | Department of Economics, University of California-San Diego (UCSD) |
Subject: | ARCH | forecasting | GARCH | local stationarity | robustness | structural breaks | volatility |
-
NoVaS Transformations: Flexible Inference for Volatility Forecasting
Thomakos, Dimitrios D., (2007)
-
NoVaS Transformations: Flexible Inference for Volatility Forecasting
Politis, Dimitris, (2007)
-
Locally stationary multiplicative volatility modeling
Walsh, Christopher, (2023)
- More ...
-
The Asymptotic Size and Power of the Augmented Dickey-Fuller Test for a Unit Root
Paparoditis, Efstathios, (2013)
-
Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions
Pan, Li, (2014)
-
Model-free Model-fitting and Predictive Distributions
Politis, Dimitris N, (2010)
- More ...