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Nonparametric validation of parametric models

โœ Scribed by Vasilis Z. Marmarelis


Publisher
Elsevier Science
Year
1982
Weight
185 KB
Volume
3
Category
Article
ISSN
0270-0255

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In forecasting a ยฎnancial time series, the mean prediction can be validated by direct comparison with the value of the series. However, the volatility or variance can only be validated by indirect means such as the likelihood function. Systematic errors in volatility prediction have an `economic val