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...
| Xuất bản năm: | Philippine Statistician Vol. 61, no. 2 (2012), 83-101 |
|---|---|
| Tác giả chính: | |
| Định dạng: | Bài viết |
| Ngôn ngữ: | English |
| Được phát hành: |
2012
|
| Những chủ đề: |