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Improved prediction intervals for stochastic process models

4 references·4 citing·25 second hop

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References

1996Statistical aspects of ARCH and stochastic volatility749 cited
1990Bootstrap Prediction Intervals for Autoregression239 cited
1987Estimating Properties of Autoregressive Forecasts202 cited
1979The sampling distribution of forecasts from a first-order autoregression105 cited

Cited by

2015Tests for serial dependence in static, non-Gaussian factor models31 cited
2009A simple procedure for computing improved prediction intervals for autoregressive models28 cited
2015Martingale unobserved component models28 cited
2007Improved Prediction Limits For AR(p) and ARCH(p) Processes27 cited

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