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ARMA-GARCH
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bootstrap
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forecasting
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stationary time series
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The bootstrap does not alwayswork for heteroscedasticmodels
Shimizu, Kenichi
- In:
Statistics & Decisions
30
(
2013
)
3
,
pp. 189-204
construct prediction intervals for the
ARMA-GARCH
models using bootstrap and see how a wrong application of bootstrap could lead …
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