Bootstrapping prediction intervals on stochastic volatility models

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/33484

Title:	Bootstrapping prediction intervals on stochastic volatility models
Authors:	Lee YH;Fan TH
Contributors:	統計研究所
Keywords:	MAXIMUM LIKELIHOOD
Date:	2006
Issue Date:	2010-07-07 11:33:55 (UTC+8)
Publisher:	中央大學
Abstract:	The parametric bootstrap method is applied to derive the prediction intervals for stochastic volatility models. The study adopts the parameters estimation developed by So et al. (1997) and proves the validity of the proposed bootstrap procedure for this p
Relation:	APPLIED ECONOMICS LETTERS
Appears in Collections:	[Graduate Institute of Statistics] journal & Dissertation

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	438	View/Open

社群 sharing