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, pages 308-319.
References listed on IDEAS
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- Christian Francq & Jean-Michel Zakoïan, 2013.
"Optimal predictions of powers of conditionally heteroscedastic processes,"
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- 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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