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Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
Chen, Bei; Gel, Yulia R.; Balakrishna, N.; Abraham, Bovas - In: Journal of forecasting 30 (2011) 1, pp. 51-71
Persistent link: https://www.econbiz.de/10009233916
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A comparison of methods for bootstrapping in the local level model
Franco, Glaura C.; Souza, Reinaldo Castro - In: Journal of forecasting 21 (2002) 1, pp. 27-38
Persistent link: https://www.econbiz.de/10001650446
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Forecasting intraday financial time series with sieve bootstrapping and dynamic updating
Shang, Han Lin; Ji, Kaiying - In: Journal of forecasting 42 (2023) 8, pp. 1973-1988
Persistent link: https://www.econbiz.de/10014432826
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Horizon confidence sets
Fosten, Jack; Gutknecht, Daniel - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 667-692
Persistent link: https://www.econbiz.de/10012616872
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Estimating the out-of-sample predictive ability of trading rules : a robust bootstrap approach
Hambuckers, Julien; Heuchenne, Cédric - In: Journal of forecasting 35 (2016) 4, pp. 347-372
Persistent link: https://www.econbiz.de/10011580770
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Modelling and forecasting time series sampled at different frequencies
Casals, José; Jerez, Miguel; Sotoca, Sonia - In: Journal of forecasting 28 (2009) 4, pp. 316-342
Persistent link: https://www.econbiz.de/10003869098
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The local quadratic trend model
Harvey, Andrew C. - In: Journal of forecasting 29 (2010) 1/2, pp. 94-108
Persistent link: https://www.econbiz.de/10003951722
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Covariance estimation for multivariate conditionally Gaussian dynamic linear models
Triantafyllopoulos, K. - In: Journal of forecasting 26 (2007) 8, pp. 551-569
Persistent link: https://www.econbiz.de/10003608120
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Robust forecasting with exponential and Holt-Winters smoothing
Gelper, Sarah; Fried, Roland; Croux, Christophe - In: Journal of forecasting 29 (2010) 3, pp. 285-300
Persistent link: https://www.econbiz.de/10003962570
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A wavelet approach for factor-augmented forecasting
Rua, António - In: Journal of forecasting 30 (2011) 7, pp. 666-678
Persistent link: https://www.econbiz.de/10009380001