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...
| Yayımlandı: | Philippine Statistician Vol. 61, no. 2 (2012), 83-101 |
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| Materyal Türü: | Makale |
| Dil: | English |
| Baskı/Yayın Bilgisi: |
2012
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