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Applied Economics Letters Volume 6, 1999 - Issue 5
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Original Articles

Forecast intervals in ARCH models: bootstrap versus parametric methods

PILAR OLAVE ROBIO
Pages 323-327 | Published online: 06 Oct 2010

Citations (8)

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Read on this site (5)

Christophe Hurlin, Sébastien Laurent, Rogier Quaedvlieg & Stephan Smeekes. (2017) Risk Measure Inference. Journal of Business & Economic Statistics 35:4, pages 499-512.
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Guillermo Ferreira, Jean P. Navarrete, Francisco J. Rodríguez-Cortés & Jorge Mateu. (2017) Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach. Journal of Statistical Computation and Simulation 87:12, pages 2430-2449.
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Laurent Ferrara. (2007) Point and interval nowcasts of the Euro area IPI. Applied Economics Letters 14:2, pages 115-120.
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Yun-Huan Lee & Tsai-Hung Fan. (2006) Bootstrapping prediction intervals on stochastic volatility models. Applied Economics Letters 13:1, pages 41-45.
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Pilar Olave & Jesus Miguel. (2001) Testing heteroscedasticity: are parametric ARCH models appropriate?. Applied Economics Letters 8:2, pages 125-129.
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Articles from other publishers (3)

Li Pan & Dimitris N. Politis. (2016) Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions. Journal of Statistical Planning and Inference 177, pages 1-27.
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Jesús A. Miguel & Pilar Olave. (1999) Bootstrapping forecast intervals in ARCH models. Test 8:2, pages 345-364.
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Christophe Hurlin, SSbastien Laurent, Rogier Quaedvlieg & Stephan Smeekes. (2013) Risk Measure Inference. SSRN Electronic Journal.
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