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ArticleBootstrap prediction in univariate volatility models with leverage effect

Carlos Trucíos2015

Article2015

Bootstrap prediction in univariate volatility models with leverage effect

Carlos Trucíos · Luiz Koodi Hotta

25 citations·0/0 files stored·Mathematics and Computers in Simulation

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Stock Market Forecasting Methods

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Principles of Forecasting. A Handbook for Researchers and Practitioners 2012Jump-robust volatility estimation using nearest neighbor truncation 1990Bootstrap Prediction Intervals for Autoregression 1987Estimating Properties of Autoregressive Forecasts 2005Bootstrap prediction for returns and volatilities in GARCH models

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Year2015

Typearticle

Published2015-07-13

VenueMathematics and Computers in Simulation

ISSN-L0378-4754

Languageen

Citations25

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.matcom.2015.07.001

openalex_workW1566153089

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