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Asymptotic properties of sieve bootstrap prediction intervals for processes

✍ Scribed by Maduka Rupasinghe; V.A. Samaranayake


Book ID
119373033
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
247 KB
Volume
82
Category
Article
ISSN
0167-7152

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## Abstract We propose a novel, simple, efficient and distribution‐free re‐sampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models. In particular, our key idea is to employ a Box–Jenkins linear representation of an ARCH/GARCH equation and then