Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes
In statistical modelling contexts, the use of one-step-ahead prediction errors for testing hypotheses on the forecasting ability of an assumed model has been widely considered. Quite often, the testing procedure requires independence in a sequence of recursive standardized prediction errors, which cannot always be readily deduced particularly in the case of econometric modelling. In this paper, the results of a series of Monte Carlo simulations reveal that independence can be assumed to hold.
Year of publication: |
2007
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Authors: | Degiannakis, Stavros ; Xekalaki, Evdokia |
Published in: |
Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 3.2007, 1, p. 31-37
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Publisher: |
Taylor and Francis Journals |
Saved in:
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