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Bootstrap prediction for returns and volatilities in GARCH models

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Author Info
Pascual, Lorenzo
Romo, Juan
Ruiz, Esther
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File URL: http://www.sciencedirect.com/science/article/B6V8V-4F8TG43-2/2/c4d2784d05693220bc5b0d1a47a6c398
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 50 (2006)
Issue (Month): 9 (May)
Pages: 2293-2312
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Handle: RePEc:eee:csdana:v:50:y:2006:i:9:p:2293-2312

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  1. Maria Rosa Nieto & Esther Ruiz, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," Statistics and Econometrics Working Papers ws087326, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  2. Luc, BAUWENS & G., STORTI, 2007. "A Component GARCH Model with Time Varying Weights," Discussion Papers (ECON - Département des Sciences Economiques) 2007012, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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  3. Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," Economics Working Papers (Ensaios Economicos da EPGE) 679, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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