Optimal multi-step-ahead prediction of ARCH/GARCH models and NoVaS transformation
Year of publication: |
2019
|
---|---|
Authors: | Chen, Jie ; Politis, Dimitris N. |
Published in: |
Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 7.2019, 3, p. 1-23
|
Publisher: |
Basel : MDPI |
Subject: | L1 and L2 | bootstrap | GARCH(1,1) | Monte Carlo simulation | multi-step prediction | NoVaS transformation |
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