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...
| Cyhoeddwyd yn: | Philippine Statistician Vol. 61, no. 2 (2012), 83-101 |
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| Prif Awdur: | |
| Fformat: | Erthygl |
| Iaith: | English |
| Cyhoeddwyd: |
2012
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| Pynciau: |