Robust methods in time series models with volatility
Volatility in time series data is often accounted into the model by postulating a conditionally heteroskedastic variance. In-sample prediction maybe satisfactory but the out-sample prediction is usually problematic. A test for presence of volatility through a nonparametric method is proposed. An...
| Argitaratua izan da: | Philippine Statistician Vol. 61, no. 2 (2012), 83-101 |
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| Formatua: | Artikulua |
| Hizkuntza: | English |
| Argitaratua: |
2012
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