Construction and visualization of optimal confidence sets for frequentist distributional forecasts
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More about this item
Keywords
probabilistic forecasts; asymptotically uniformly most accurate confidence regions; time series models; animated graphics; realized volatility; heterogeneous autoregressive model.;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2017-09-17 (Econometrics)
- NEP-FOR-2017-09-17 (Forecasting)
- NEP-ORE-2017-09-17 (Operations Research)
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