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...
| 發表在: | Philippine Statistician Vol. 61, no. 2 (2012), 83-101 |
|---|---|
| 主要作者: | |
| 格式: | Article |
| 語言: | English |
| 出版: |
2012
|
| 主題: |