Prediction intervals in conditionally heteroscedastic time series with stochastic components
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- Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2011. "Prediction intervals in conditionally heteroscedastic time series with stochastic components," International Journal of Forecasting, Elsevier, vol. 27(2), pages 308-319, April.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Christian Francq & Jean-Michel Zakoïan, 2013.
"Optimal predictions of powers of conditionally heteroscedastic processes,"
Journal of the Royal Statistical Society Series B,
Royal Statistical Society, vol. 75(2), pages 345-367, March.
- Francq, Christian & Zakoian, Jean-Michel, 2010. "Optimal predictions of powers of conditionally heteroskedastic processes," MPRA Paper 22155, University Library of Munich, Germany.
- Christan Francq & Jean-Michel Zakoian, 2012. "Optimal Predictions of Powers of Conditionally Heteroskedastic Processes," Working Papers 2012-17, Center for Research in Economics and Statistics.
More about this item
KeywordsARIMA-GARCH models; Local level model; Nonlinear time series; State space models; Unobserved component models;
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